In　this　paper,　I　empirically　study　on　eight　different　types　of　sample　commercial　banks　by　CoVaR　model　and　quantile　regression　techniques.　The　new　find　is　that　from　perspective　of　liquidity,　the　larger　asset　banks　face　higher　liquidity　risk,　which　is　more　likely　lead　to　spillover　aggregation　of　systemic　risk.　However　downturn　in　the　macroeconomic　cycle,　medium　and　small　banks　are　more　prone　to　risk　spillover　cause　systemic　risk.　Therefore,　policy　recommendations　are　that　the　banking　supervisory　authority　focuses　on　not　only　the　traditional　sizeable　international　banks　asset,　but　also　concerned　about　the　medium　and　small　banks　of　excessive　business　growth.　These　banks　are　also　systemic　risk　aggregation　and　initiator　of　financial　crisis.　©　2017　Association　for　Computing　Machinery.