Research On The Systemic Risk Of Chinese Stock Market From The Perspective Of Relevance

The abnormal volatility of the stock market in 2015 made everyone understand that the accumulation and resolution of risks in the development of the capital market are issues that need to be focused.The history and reality of the development of the securities market show that we can further develop the functions of the securities market and promote the healthy and sustainable development of the securities market only by properly monitoring,preventing and resolving systemic risks in the securities market.As China's securities market is an emerging market and its development is not mature,problems and contradictions that are not prominent in many mature markets can easily evolve into systemic risk factors that affect China's market stability.With the deepening of financial reform,financial innovation becoming more and more active,and the continuous emergence of technological innovation,the internal links in the securities market have become increasingly closer.One of the manifestations is the increasing relevance.Relevance is the core of modern risk measurement and management,and is an important part of systemic risk.Excessive correlation can easily amplify the contagion effect of negative impact among various securities market entities,and increase the level of damage of negative impact on the securities market system.The scope of the impact.Therefore,how to identify and estimate the current systemic risks of the securities market in China from the perspective of relevance,clarify the risk contagion mechanism of systematic financial risks in the complex networks of the securities market,deepen the reform,and establish a systemic risk for the securities market that suits China's national conditions.The early warning mechanism is an urgent problem to be solved.In the aspect of systemic risk measurement in the securities market,this paper begins with the research on the interrelationship between companies in the securities market and the industry,and uses the principal component analysis method and the network analysis method based on the Granger causality test to measure the correlation of the securities market under general conditions to discover the acc umulation of systemic risks during the non-crisis period of the securities market.Apply CoVaR and network analysis method based on Granger causality risk test to supplement the principal component analysis and Granger causality test,measure the correlati on between individual stocks and industries in the securities market under extreme conditions,and discover the extreme conditions under the market.Systemic risk overflows.The results of the systemic risk measurement of the securities market under general conditions indicate that during the global financial crisis in 2008 and the stock market disaster in 2015,the degree of correlation between stocks in China's securities markets increased significantly,and the PCA's growth rate in the short-term is higher in PCA.The more likely the market crisis will occur.From the industry point of view,utilities,real estate,and transportation industries are the exporters of risk,and banks,materials,and biopharmaceutical industries are the main risk recipients.The systemic risk measurement results under extreme conditions show that from the perspective of the industry,the three industries that contribute the most to systemic risk are those with relatively small assets.In the food and beverage and software services industry,the three industries that contribute the least to systemic risks are the banks,energy and insurance industries with larger assets.During the global financial crisis in 2008 and the stock market disaster in 2015,the automotive and accesso ries,transportation,and capital goods industries ranked low in the contribution of systemic risks in a stable period of the market.During the crisis of the market,the contribution of systematic risks increased rapidly,and the risk contribution was ran ked prominently.rise.The extreme risk spillover network has a time lag effect.The topological characteristics of the network have changed significantly during the 2008-2009 financial crisis and the 2015 stock crisis.The extreme risk spillover effect is very significant;real estate companies are the largest net exporters of extreme risk spillovers.The bank is the biggest net receiver of extreme risks.Impact on the contribution of the network structure to systemic risk.A stock industry index network was constructed based on the dynamic condition correlation coefficient between industry indices,and the network topology structure of the nodes was analyzed using the MST method.The irrelevance regression of panel data is used to analyze the relationship between network topology structure and system risk contribution,and the network contagion mechanism of systemic risk is explored.The results show that due to the existence of information spillovers and industrial linkages,changes in the local network structure of the industry index often lead to changes in the systemic risk contribution of the industry index.Industries with large intermediate centers,near-centrality,clustering coefficients,and small node occupancy often contribute more to systemic risks.The more important the industry's position in the network and the stronger the ability of information dissemination,the more closely the industry links with other industries,and the stronger the risk spillover effect on other industries and the entire market.In addition,there is no significant correlation between the industry's profitability and debt level and its systematic risk contribution.The larger the industry's assets,the smaller its systematic risk contribution.This paper begins with the connotation,characteristics and contagion mechanism of systemic risks in the securities market,analyzes the characteristics and causes of systemic risks in China's securities market,then identifies and measures the systematic risks in the securities market from the perspective of relevance,and analyzes the network structure and systemicity.The relationship between risk and the network contagion mechanism of systemic risk is defined.Finally,the selection of indicators and the application of methods for systemic risk warning in the securities market are analyzed.This paper tries to explore the rules and characteristics of systemic risk contagion and outbreak in China's securities market,and proposes risk early-warning methods and supervision methods so as to provide reference for the supervisory level and investors to effectively identify and manage systemic risks,and to maintain the stability of China's securities market.It is of great significance to promote the development of the securities market.In terms of systemic risk warnings in the securities market,this paper first selects the securities market correlation index,the average distance between the CSI 300 secondary industry index network,as the representative indicator of the overall systemic risk level of the securities market,based on the systemic risk contagion mechanism of the securities market.The lower the average network distance,the more likely the market crisis will occur in the near future.Then,using the GARCH model to give early warning of the systemic risk in the securities market and test its robustness,the results show that the GARCH model has a good early warning effect.Finally,this paper proposes to prevent and resolve the systematic risks of the securities market and promote the development of the securities market from the aspects of optimizing the internal operating mechanism of the market,strengthening the supervision of systemically important companies and industries,establishing a systematic system of risk early warning for the securities market,and optimizing the investment portfolio.