Abstract: In recent years, with the deepening of China's financial reform, the financial liberalization and mixed operation of financial institutions have greatly improved the business and capital flow between different financial sectors and financial institutions. The risk dependence between different financial markets and different financial institutions, and the change of the dependence relationship in different periods are concerned by the academia, especially the financial regulatory authorities. In the process of financial reform, it is particularly important to prevent and resolve financial risks and maintain financial stability. Therefore, it is of great theoretical and practical significance to effectively measure the risk linkage between financial institutions and find the dynamic evolution law of risk dependence. In this paper, the China’s financial sector is divided into 6 major financial sub sectors, namely, state-owned banks, national shareholding banks, city commercial banks, securities, insurance and trust. Taking China's stock market turbulence in 2015 and the COVID-19 as the research background, the risk dependence and dynamic evolution of 6 financial sub sectors in the two different backgrounds are analyzed. In this paper, the risk dependence network of the financial sector is constructed by calculating the mutual information of the volatility indexes among the sub sectors, the maximum spanning tree is used to describe the core structure of the dependence, and the sliding window is used to examine the dynamic evolution of the dependence relationship. The results show that, firstly, when the market is in a relatively calm period, the risk dependence between banking sector and non banking sector is weak and relatively fragmented, which is more obvious during the background of COVID-19; Secondly, when the state of market trend fluctuates greatly, which is in the bull period and turbulence period of China’s stock market turbulence in 2015, as well as the epidemic period in the COVID-19 background, the risk dependence between the banking sector and the non banking sector is enhanced, and in this process, the insurance sector becomes an important intermediate node; Finally, in 2015, the state-owned banks and city commercial banks become the largest risk nodes respectively in China’s stock market turbulence in 2015 and in the COVID-19 background. Therefore, in order to better maintain the stability of China’s financial system, it should be paid more attention to the banking institutions, when the fluctuation of economic and social status is violent, the important role of insurance sector in risk transmission should be noticed.

Key words: mutual information; financial sector; risk dependence; dynamic evolution