基于CoVaR的我国证 券市场系统性风险分析-统计学专业论文.docxVIP

ABSTRACT Systemic risk in securities market has the characters of wide spreading, rapid travelling and deep influencing. Once systemic risk occurs, the whole securities system will come across huge losses, and affect the real economy. As an emerging market, China securities market has a simple structure and weak anti-risk ability, in the event of systemic risk there may be serious consequences. To investigate the mechanism of the internal and external factors acting on the systemic risk in China securities market, this article select stock market as a representative, empirically analyzes this problem. First, using daily closing data of stock indexes of America, England, German, French, Japan, Korea, Hong Kong and Taiwan from 2005 to 2012 as the representative of the market condition, using CSI 300 as the representative of China securities market, this article makes an empirical analysis with CoVaR method. The result shows that in the long run the stock market of all countries and regions has a certain degree of influence on China stock market, the Asian markets which have closer geopolitical relations with China stock market influence have greater impact than European and American markets, the spread of systemic risk needs time, can transfer indirectly through interconnected markets and might be amplified in the process of indirect transfer. And the influence degree of all countries and regions on the systemic risk in China stock market is constantly changing over time. Second, this article uses daily closing data of CSI 300 index and CSI 300 industry index as the representative of China stock market and each industry sector, also employs the CoVaR method for the empirical study. The result shows that every industry sector contributes to the whole stock market’s systemic risk, the degree of the impact changes over time for each sector, the sector with a large VaR might not necessarily have a big impact on the overall stock market’s systemic risk, but the sector wit