On Spillover Effect of Systemic Risk of Listed Securities Companies in China Based on Extended CoVaR Model

Table 1

Descriptive statistics of the yield series of securities companies stocks.

Company	Mean	Median	Maximum	Minimum	Standard deviation	Skewness	Kurtosis	JB statistics	Probability
C1	0.0598	<0.0001	9.5422	−10.5286	2.2441	0.0213	7.7531	401.9827	<0.0001
C2	0.0497	−0.0549	9.5311	−10.5549	2.1246	0.2060	8.0790	461.9688	<0.0001
C3	0.1178	−0.0779	9.5667	−10.5356	2.4627	0.7192	6.6342	271.7902	<0.0001
C4	0.1137	<0.0001	9.5667	−10.5519	2.4939	0.5702	6.5403	246.1270	<0.0001
C5	0.0622	<0.0001	9.5535	−10.5362	2.3897	0.1219	7.3420	336.4899	<0.0001
C6	0.0680	<0.0001	9.5476	−10.4899	2.1731	0.3078	8.8717	620.1339	<0.0001
C7	0.1500	<0.0001	9.5886	−10.5169	2.9608	0.4116	5.3796	112.7984	<0.0001
C8	0.1595	<0.0001	9.5515	−10.5064	2.3985	0.5500	7.5839	395.3759	<0.0001
C9	0.4123	<0.0001	9.5612	−10.5548	3.8536	0.2803	3.9685	22.2787	<0.0001
C10	0.1546	<0.0001	9.5449	−10.5527	2.4953	0.3078	7.5561	376.0665	<0.0001

Note. C1, C2, …, C10 represent GF Securities Co., Ltd., Guotai Junan Securities Co., Ltd., Guosen Securities Co., Ltd., Haitong Securities Co., Ltd., Huatai Securities Co., Ltd., Shen Wan Hong Yuan Securities Co., Ltd., China Galaxy Securities Co., Ltd., China Merchants Securities Co., Ltd., China Securities Co., Ltd., and Citic Securities Co., Ltd., respectively. C1, C2, …, C10 in all tables below have the same meaning as this table.