Abstract：Unconventional systemic risks are unexpected and sudden in the short term and often erupt in the form of emergencies. Firstly, this paper theoretically analyzes the influence mechanism of emergencies and the imperfect capital market system on the asymmetric evolution process of systemic risk, and then emergencies analysis is integrated into regime switching process by using two filtering methods and MSDR model to measure the structural change and identify typical regime breakpoints of systemic risk in time dimension so as to clearly describe the cyclic characteristics of accumulating and releasing of systemic risk and dynamic transition process in stages. Finally, the risk wake-up effect of discrete emergencies is analyzed. It is found that systemic risk has the characteristics of time-varying and regime dependent. China′s capital market can cope with the impact of major events at home and abroad; most of the time state of systemic risk stays in normal event regime, and has certain stickiness. However, emergency regime has gradually acquired the DNA of systemic risk and is easy to change into the normal event regime, so it tends to release risk suddenly and quickly. In the future, external shocks may have become normal. Under the Double-Cycle trend of a higher level, regulators should break traditional mode of thinking about risk, speed up capital market basic system′reform, build a global risk prevention mechanism, and improve the release effect of risk.

Keyword：Emergencies; Systemic Risk in Capital Market; Regime Switching; Institutional Explanation; Risk Governance