Abstract: The correlation among international financial markets and the research on systemic risk have been emphasized by scholars. This paper focuses on the domestic stock sector indexes for empirical analysis. In this article, a dynamic factor Copula model is constructed to analyze the dynamic relationship of the daily returns, and further to measure the spillover effects of systemic risks among industries based on EPR (Expected proportion of industries at risk). For empirical research, this paper chooses intra-day stock prices of respective 28 industries, ranging from January 4^th 2006 to July 1^st 2016. Based on the path of dynamic factor loading or EPR, the correlations and risk spillover effects between industries can be discussed. Studies show that close correlations exist between returns of sector indexes. In terms of a single trade, the stock index of chemical industry is most susceptible to other industries.In terms of financial and non-financial sector, it is suggested that the financial sectors have a great and relatively stable influence on the non-financial ones. These results could provide investors and risk managers with guidance in decisions-making.

Key words: systemic risks, factor copula, GAS model, spillover effects