The Study Of Exogenous Shocks' Impact On Stock Market And Its Risk Management

The stock market's basic function is an important precondition for the sustained and stable development of China's economy.The resource allocation function of the stock market can effectively deliver idle fund of the society to the listed companies,to promote the development of the real economy.The built-up time of Chinese stock market is relatively late,but the speed of development is fast.In the process of the maturity of the stock market,the stock price index of China has shown obvious volatility.Taking the CSI 300 index from 2005 to 2016 as an example,the stock market index has experienced two sharp ups and downs around 2007 and 2015,showing a sharp rise and fall.The sharp rise and fall of the stock index is not conducive to the healthy development of the stock market,even impacting the real economy,causing social problems.It is necessary to maintain the healthy operation of the stock market and prevent the sharp rise and fall of the stock market.In terms of the dynamic trend of the time series,there may be a complex relationship between the macroeconomic policy variables at home and abroad and the Chinese stock price index.Macroeconomic policy is an important exogenous shock source for China's economic system.Clarifying the laws of various exogenous shocks impacting on the stock market,including macroeconomic shocks,will help to prevent the risk of stock market.In order to maintain the stability of the stock market,and recover the rules of the stock market price decision,this paper adopts dynamic stochastic general equilibrium model(DSGE)and sign restricted TVP-SV-VAR model to study the domestic impact on the stock market,then using the panel quantile regression to study the impact on stock market comovement from international exogenous shocks.This study has important theoretical and practical significance for preventing stock market risk and effectively avoiding the damage to real economy caused by the fluctuation of stock price.Besides,in the study of stock market risk management,this paper,from the perspective of investors,studies the evasion function of gold,oil and domestic bonds on the RMB exchange rate depreciation and stock market fall risk,so as to provide a useful reference for investors to avoid risks.The structure of the paper is as follows:The first part is the introduction.At first,this paper described the background and significance of exogenous shocks' impact on the stock market.Then introduce the research content and research methods,and explains the research ideas and research framework.At last,we described the innovation of the research and the future research direction.The first chapter is the theoretical basis and literature review of the related research.In the part of theory,the concept of exogenous shock,stock price and hedging is defined firstly,then introduces the classic stock pricing theory,such as the stock price value model,effective market theory,the traditional capital asset pricing theory,finally introduces the theory of financial risk management.In the part of literature review,firstly,a brief review of the stock pricing theories,and review on the impact of exogenous shocks on the stock market,the last is the literature review of the research on risk management of the stock market from the perspective of traditional financial asset investment.The second chapter is the study of the impact of domestic and foreign exogenous shocks on the stock market price.The first part is the DSGE model analysis of exogenous impact and stock price,including the construction of DSGE model,the solution of the model,the calibration Bayes estimation of unknown parameters,and the impulse response analysis.The second part is time varying impact of the macroeconomic policy on the stock market price,first introduced the sign-TVP-SVVAR model,including the model framework,estimation,sign restriction set,then carried out an empirical analysis,including data sources,processing and analysis of descriptive statistics,finally is the sign-TVP-SV-SVAR model.The third chapter is the study of the impact of international exogenous shocks on the comovement of the stock market.First,based on the factor model,we derive the theoretical model of the impact factor on the comovement of the stock market.The impact factor includes the international exogenous shock.Then,the empirical research methods and data processing are introduced.The measure method of stock market's comovement and quantile regression principle are introduced,and index selection and data processing are explained.Finally,it is an empirical analysis of the impact of the financial crisis and the US monetary policy on the stock market comovement.The fourth chapter is the research on the risk management of the stock market.The first section expounds the problem of risk management in the stock market,the necessity and the principle,which lays the foundation for the construction of the risk management framework in the later text.The second section is the construction of risk management system,establishing a multi-level risk management system,including stock market risk management system,stock market risk regulation,listed industry selfdiscipline,internal control and investor decision-making.The third section is the analysis of stock market risk management based on investor perspective.The dummy variable EGARCH model and dummy variable quantile regression model are used to study the hedging and safe heaven nature of gold,bond and oil to stock market risk.The fifth chapter is the research conclusion and policy suggestion.First,we summarize the results of this study,and then put forward corresponding policy recommendations based on the conclusion of exogenous shocks and the risk management of stock market,so as to provide useful references for investors,policymakers and other market participants.