<p>We explore the effect of firm ownership and other characteristics on systemic risk using data of listed companies in the Chinese stock market. We extend the definition of systemic risk measures in different market situations, such as crisis, normal, and boom situations. Each measure can be further decomposed into two dimensions: a firm’s individual risk and the systemic linkage of the firm to the market. During market downturns, we find a significant negative relationship between state-owned property and systemic risk. Stated-owned enterprises exhibit much lower firm individual risk that can compensate for the higher systemic linkage to the market. Specifically, we observe a significant decrease in this negative impact following the implementation of the deleveraging policy starting in 2016. A policy evaluation study provides strong evidence that the deleveraging policy is effective in reducing the systemic tail risk of state-owned enterprises. This study provides a new perspective for understanding the role of state-owned enterprises in stabilizing the financial system and new insights for guiding policymakers and firm executives to effectively reduce systemic risk.</p>