From Contagion to Pricing: Systemic Risk and Asset Premium in Supply Chain Networks

Speaker：Wang Gangjin, Professor, Hunan University

Host：Ma Yue, Postdoctoral Fellow, Lingnan College

Time and Date：15:30, May 22, 2026 (Friday)

Venue：2nd Floor Conference Room, Mayingbiao Hall

Language：Chinese

Abstract：

Against the macro-level backdrop of enhancing industrial chain resilience and improving capital market functions, the impact of supply chain network risk on asset pricing has become a critical issue linking industrial security with financial efficiency. Using a sample of Chinese A-share listed firms from 2001 to 2024, this paper systematically integrates supply chain transaction data and financial information to construct a systemic risk indicator that incorporates industry linkage characteristics and risk early-warning functions, aiming to uncover the deep relationship between supply chain risk contagion and capital market pricing. The results show that supply chain network risk exhibits state-switching characteristics as the market evolves, with September 2014 serving as a key tipping point: before this date, the market was in a subcritical state, where individual firm risk could be effectively absorbed through market diversification and had no significant impact on asset pricing; after this date, the market entered a supercritical state, where individual risks accumulate systematically through the supply chain network, and the systemic risk indicator becomes an independent pricing factor affecting stock returns. From an economic perspective, factors such as information frictions, firm characteristics, and arbitrage constraints collectively shape the formation and variation of supply chain risk premia. This study breaks from the conventional wisdom that "individual risks can be fully diversified" and incorporates the systemic risk arising from supply chain network linkages into the pricing framework, providing empirical guidance for building an asset pricing system suited to the Chinese market and for advancing financial security and industrial chain optimization.

Profile:

Wang Gangjin holds a Ph.D. in Management and is currently a Professor, Doctoral Supervisor, and Associate Dean at the Business School of Hunan University. He has been honored with several prestigious recognitions, including the National High-Level Young Talents Program, the Hunan Provincial Excellent Youth Science Fund, the Xiangjiang Young Social Science Talents, the Huxiang Young Talents Support Program, Elsevier's China Highly Cited Scholar (Management Science and Engineering), and the World's Top 2% Scientists List. His teaching and research primarily focus on FinTech and Financial Engineering, Financial Risk Management, Complex Financial Networks, and Systemic Financial Risk. He serves as Deputy Director of the "Industrial Digital and Intelligent Finance" Key Laboratory of Philosophy and Social Sciences of Hunan Province. He has led one major project of the Ministry of Education's Key Research Institute of Humanities and Social Sciences, two sub-projects of major programs of the National Social Science Fund of China, three projects of the National Natural Science Foundation of China, and three provincial/ministerial-level projects. He has published over 60 papers as first or corresponding author in prestigious domestic and international journals including the Journal of Management Sciences in China and the Journal of Empirical Finance, authored two monographs, and been granted two national invention patents. His awards include the Second Prize and Third Prize of the Outstanding Scientific Research Achievement Award (Humanities and Social Sciences) from the Ministry of Education, the Second Prize of the Hunan Provincial Natural Science Award, the Second Prize of the Hunan Provincial Social Science Award, and the GARP Excellence in Research Award from the Global Association of Risk Professionals.