6 raw dataThe agglomeration and convergence of systemic risks among sectors Evidence from China.rar

The datasets contain the Wind first-level sectoral index and the Shanghai Composite Index of the Chinese stock market. The primary sectoral index covers 11 sectors including real estate, finance, public utilities, telecommunications services, information technology, health care, daily consumption, optional consumption, industry, materials, and energy. Due to its strong financial attributes, real estate was once merged into and separated from the Wind Finance sector after March 2007. To make industry data comparable and model result more accurate, this manuscript selects the daily frequency yield data of the Wind first-level industry index from March 2, 2007 to October 28, 2022. The time series includes a total of 3810 trading days.