Analyzing The Systemic Risk Of Chinese Stock Market Based On CoVaR-GE And CoES

The subprime crisis erupted in 2007,American financial industry has caused extensive concern of different country's scholars to systemic risk,which refers to the risk that if the crisis of a part of the financial system would trigger the whole system crash,it has the characters of wide spreading,rapid travelling and deep influencing.Systemic risk is prevalent in financial systems especially in securities market.As an emerging market,the development of Chinese securities market is not perfect.Once the systemic risk of an individual industry occurs,the whole securities system may suffer huge losses,and even affect the operation of the real economy.Therefore,the measurement research of systemic risk on securities market has vital significance.Based on previous theoretical and empirical studies about the systemic risk,this paper gives a detailed introduction to the CoVaR-GE and CoES.According to the shortcomings of the CoVaR,this paper proposes improved model by meeting the requirements of the correlation coefficient.The CoES model is able to consider the systemic risk of the extreme loss.We use Copula method to calculate the CoVaR-GE,and average method to calculate the CoES.We obtain the quantified value of the systemic risk of different loss cases.This paper focuses on CSI 300 and its 10 sector indices,and measures stock market's systemic risk based on different industry.We collect the closing price data of CIS 300 and its 10 sector indices from 2003 to 2015 from the wind datebase.According to the year which the subprime crisis occurs,we divide the time interval into three sections:before,during,and after the crisis.We use CoVaR-GE and CoES model to make empirical analysis on the systemic risk of different sectors,and also the risk spillover effect of financial sector among different sections.The result shows that,(1)No matter in any one of the three sections,every industry sector contributes to the whole securities market's systemic risk;(2)The degree of the impact changes over time for the same sector,also the degree of the impact changes over sectors during the same section;(3)The financial sector has the positive direction of the risk spillover effext to other sectors during different sections,The degree of spillover is not the same.