<p>Driven by the goals of “carbon peak and carbon neutrality”, China’s photovoltaic industry has experienced rapid expansion, which provides a unique opportunity to study dynamic spillover effects within a structured industry framework. This study uses data from January 2017 to December 2024 to fill the research gap by exploring the complex spillover effects between the upstream, midstream and downstream of the photovoltaic industry chain. Empirical analysis based on the TVP-VAR-DY and TVP-VAR-BK models shows that: (1) Spillover effects initiated by specific markets, as well as their received impacts, exhibit significant time-varying asymmetries driven by major policy shifts and extreme events. (2) Spillover effects among key material markets are significantly higher under high-frequency trading conditions than under medium or long term. (3) Upstream silicon materials and photovoltaic modules are considered the main sources of risk transmission, while mid- and downstream links such as silver paste and photovoltaic glass are the main recipients of risk. The transmission of cross-market risks usually follows a feedback model, that is, the “upstream drive, downstream response” contagion pattern. In addition, the dynamic risk hedging strategies among key material markets in the photovoltaic industry provide empirical evidence for industry stakeholders and policymakers to implement risk management strategies.</p>