Abstract: The systematic financial risk has been a hot issue in the theoretic cycle and the practical circle. Starting from the three market states, i.e., tranquility, normality and vibration, this paper conducts an empirical analysis of the spillover effects of systematic financial risks among Chinese insurance, banking, securities and fund industries through constructing static and dynamic SDSVaR models with the method of two-stage quantile regression. Meanwhile, it uses the impulse response function to depict the direction, intensity and duration of the risk spillover. The findings show that the spillover effects of systematic financial risks among the financial institutions presents an asymmetry under the static SDSVaR model; while under the dynamic SDSVaR model, the risk spillover effect among the financial institutions is consistent with the trend of the stock markets, and the SDSVaR model seems to response more sensitively to the crisis during the period of volatile market. Under the impact of the same equivalent level, the risk spillover effect in the volatile market state is the strongest of all, of which the spillover effect from the fund industry ranks the first, followed by the banking and insurance industries, and the security industry is the weakest. It is necessary to keep a heightened alertness of the negative impact of the economic shock on the financial institutions, steadily promote the mixed operation of the financial institutions, strengthen the macro and prudence regulation in an all around way, and give full play to the regulators in their role of functional regulations.

Key words: financial institutions; systematic risks; spillover effect; SDSVaR model