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This paper takes the unexpected event of the new coronavirus as the research background, selects the daily closing price data of the financial sectors (banking, insurance, securities, and multifinance) from 20 June 2017 to 31 December 2023. It then applies the TVP-VAR-DY model to empirically study the risk spillover effect among financial sectors. The study identified three distinct stages: before, during, and after the epidemic. It revealed that the total systematic spillover exhibited an initial increase, followed by a subsequent decrease. Notably, the fluctuation in this phenomenon intensified significantly during the epidemic. The securities sector emerged as the most susceptible to spillover risks from other sectors and, in turn, the most vulnerable to risk contagion from other sectors. Conversely, the banking sector demonstrated relative stability. Furthermore, the multifinance sector is more susceptible to risk contagion from other sectors during the pre-epidemic and mid-epidemic stages. However, following the epidemic, as the economy has not yet fully recovered, the multifinance sector is more likely to experience spillover risks from other sectors, and the insurance sector also primarily acts as a risk spillover. Finally, five different lag orders were selected to test the robustness of the empirical results of the model. The test results demonstrated that the model was valid and the results were feasible.本研究以新型冠状病毒突发公共卫生事件为研究背景，选取2017年6月20日至2023年12月31日期间银行、保险、证券及多元金融四大金融行业的每日收盘价数据。随后采用时变参数向量自回归迪博尔德-伊尔马兹（TVP-VAR-DY）模型，实证探究金融行业间的风险溢出效应。研究识别出疫情前、疫情中及疫情后三个截然不同的阶段，发现整体系统性风险溢出水平呈现先升后降的变化趋势，且疫情期间该现象的波动幅度显著加剧。证券行业不仅最易受到其他行业的风险溢出影响，同时也是最易遭受其他行业风险传染的主体。与之相对，银行业则表现出相对的稳定性。此外，多元金融行业在疫情前及疫情中期更易受到其他行业的风险传染；而疫情结束后，由于经济尚未完全复苏，多元金融行业更易遭受其他行业的风险溢出，同时保险业也主要扮演风险溢出方的角色。最后，本研究选取5种不同的滞后阶数对模型实证结果的稳健性进行检验，检验结果表明模型设定有效，实证结果具备可行性。