Dataset for "The Concentration-Fragility Nexus — New Data Repository (V3)"

Complete replication dataset and Python scripts for V3 of "The Concentration-Fragility Nexus: Early-Warning Systems and Portfolio Implications in Concentrated Markets" (F1000Research, f1000research-15-557). All data are sourced from publicly available real-world sources: - Return series: Yahoo Finance (yfinance Python library) - Market concentration (HHI, CR10): SEC EDGAR NPORT-P filings, SPDR S&P 500 ETF Trust, CIK 0000884394, 19 quarterly filings - Sample: 1,215 trading days, 2020-01-03 to 2024-10-30 V3 replaces the prior deposit, which contained data inconsistent with new market behavior identified during the V3 revision process. Keywords: market concentration, systemic fragility, GJR-GARCH, VECM, Diebold-Yilmaz spillover, PCA, portfolio optimization, S&P 500, HHI