Table 5.

Risk variable correlation test.

	Scenario 1	Scenario 2	Scenario 3	FHR	ILLIQ	MC
Panel A. Indirect risk
Scenario 1	N/A
Scenario 2	1.000***	N/A
Scenario 3	1.000***	1.000***	N/A
FHR	0.420***	0.419***	0.416***	N/A
ILLIQ	−0.510***	−0.511***	−0.512***	−0.168*	N/A
MC	0.434***	0.433***	0.432***	0.422***	−0.531***	N/A
Panel B. Systemic risk
Scenario 1	N/A
Scenario 2	1.000***	N/A
Scenario 3	0.997***	0.999***	N/A
FHR	0.380***	0.388***	0.401***	N/A
ILLIQ	−0.530***	−0.527***	−0.521***	−0.168*	N/A
MC	0.430***	0.432***	0.432***	0.422***	−0.531***	N/A

***: p < 1%, **: p < 5%, *: p < 10%.

Note: This table reports the correlations among the indirect risks in Panel A, and Systemic Risk, in Panel B, for the financial stocks in three scenarios and their correlations with the fund holding ratio (FHR), illiquidity ratio ($ILLIQ$), and market capitalization (MC). The table in Panel A shows the values of indirect risk under three scenarios are significantly correlated with a coefficient of 1.00, which indicates the ranking orders of stocks by indirect risk remain consistent, not affected by the parameter of flow-performance relationship or liquidity. FHR is significantly correlated with indirect risk, suggesting a stock that has a greater proportion of shares held by mutual funds tends to have greater indirect risk. The $ILLIQ$ is significantly correlated with the indirect risks, which indicates more liquid stocks tend to have greater indirect risks. MC positively correlates with indirect risks, suggesting large stocks have greater indirect risks. Similar results for systemic risk are shown in Panel B. Systemic risks in different scenarios are highly correlated, and systemic risk is also positively correlated with FHR and MC, and negatively correlated with $ILLIQ$.