This　study　explores　the　latent　driving　structure　of　sectoral　risk　contagion　in　terms　of　volatility　and　jump　through　the　factor　model　framework　for　high-dimensional　matrix-valued　time　series.　We　find　strong　inter-sector　volatility　and　jump　spillover　effects　at　the　mean　level　and　higher　effects　at　extreme　tails,　while　jump　spillovers　reflect　sharper　structural　shifts　with　the　promotion　of　major　financial　or　public　events.　Both　volatility　and　jump　are　contagious　in　the　form　of　a　communitystructure.　Our　findings　provide　new　evidence　about　sectoral　risk　contagion　and　the　importance　of　accurately　identifying　the　underlying　structure　of　risk　contagion　for　efficiently　realizing　hierarchical　regulation.