Abstract: In the context of frequent crisis episodes， the R-Vine Copula and the spillover index model are applied to study the cross-industry risk contagion effect in China’s stock market from the dual perspective of risk linkage and risk spillover through combing major crises such as the financial crisis， the European sovereign debt crisis， and the COVID-19 epidemic. The results show that cross-industry contagion occurs in China’s stock market during crises. The changes of industry linkage network and spillover network are characterized as being event-driven. During crises， industrial is always at the center of the linkage network with consumer discretionary and materials being closely linked to industrial at all times. They are the main risk-driven industries. Energy， telecommunication， medicine， and finance are always at the margin of the linkage network as the major risk-accepting industries. The results provide meaningful references for investors’ micro-asset allocation and regulatory authorities’ macro-prudential management and risk prevention.

Key words: cross-industry risk contagion; crisis period; R-Vine Copula; spillover index model; China’s stock market