Semibeta risk premiums and sector network connectedness in Chinese stock market

The Chinese stock market, characterized by unique structural features and high volatility, presents challenges for traditional beta pricing and systemic risk measurement. This paper utilizes high-frequency intraday data to construct a realized semibeta framework integrated with a connectedness network analysis, aiming to capture asymmetric risk premiums and inter-sector spillovers. Our empirical results reveal that risk pricing is structurally asymmetric: semibetas associated with asset price declines command significant risk premiums, whereas upside potential is priced with much lower magnitude. This finding aligns with the disappointment aversion hypothesis, suggesting investors demand higher compensation for bearing crash risks. Meanwhile, the connectedness network structure shows that the Energy sector serves as the dominant risk transmitter, propagating shocks downstream, while the Real Estate sector acts as a primary risk receiver. These insights provide valuable guidance for asymmetric risk management and regulatory policy in emerging markets.