Before revision:  Those networks shed some light on the contagion phenomenons associated with financial crises, and help assessing how {\it systemic} a given firm islikely to be.We show how to estimate them by combining dynamic principal components and sparse VAR techniques. The results provide evidence of high positive intra-sectoral and lower, but nevertheless quite important, negative inter-sectoral, dependencies, the Energy and Financials sectors being the most interconnected ones. In particular, the Financials stocks appear to be the most central vertices in the network, making them the main source of contagion .
After revision:  Those networks shed some light on the contagion phenomenons associated with financial crises, and help assessing how {\it systemic} each firm is.~Our analysis demonstrates the prominent role of financial firms as sources of contagion, especially during the~2007-2008 crisis .