An Innovative Decision Support Approach to Measure the Propagation of Systemic Risk Using Granger Causality Networks

Based on the return time series data of China's A-share market, this paper uses the Granger causality test method to construct a risk contagion network between companies and a risk contagion network between provinces. Based on the constructed network, the degree of risk spillover in Shanghai is analyzed. According to the ranking, the top three provinces in China most affected by the financial risk of the Shanghai are Guangdong Province, Zhejiang Province, and Jiangsu Province.