Research On Systemic Risk Measurement And Prevention In China's Securities Market

The securities market is an indispensable part of the market economy system and plays an important role in the allocation of social resources.A developed and perfect securities market is one of the main signs of the maturity and soundness of the market economy system.China is in the process of building a socialist market economy system.It is an important task to develop and improve the securities market.The financial crisis originated in the United States in 2008 and the stock disaster in China in 2015 had caused huge losses to the securities market of our country,and also let us see the instability and vulnerability of the stock market of our country.Some external shocks will lead to the overall shock of the securities market.Systemic risk,also known as non-dispersible risk,refers to the risks that affect the market activities of all kinds of economic entities in the securities market,lead to the price changes of all trading varieties in the market,and bring losses to all investors.This kind of risk has a wide range of impacts,which can not be avoided by investors through decentralized investment.During the financial crisis in 2008 and the stock disaster in 2015,the overall collapse of China's stock market was the manifestation of systemic risk.Doing research on the systemic risk measurement and prevention of China's securities market is not only conducive to monitoring the stability of China's securities market,finding out the preventive measures of systemic risk in China's securities market,but also provides a reference for investors' rational investment.This paper studies the systemic risk of securities market from the perspective of systemic risk spillover.The conditional value at risk(CoVaR)method proposed by Adrian et al is one of the main methods to measure systemic risk.CoVaR uses the linear quantile regression method to calculate the conditional value at risk,while the quantile regression method can fully capture the characteristics of the peak and fat tail of the yield in the securities market,and better fit the market information in extreme cases.Based on the linear quantile CoVaR method of Adrian et al,this paper improves it by combining it with PLS method and the quantile regression method of partial linear single-index model.The introduction of PLS method can make the information of insignificant variables participate in regression more effectively.The introduction of nonlinear part can more accurately fit the nonlinear part of the relationship between variables in the financial market,making the results more accurate.After calculating the systemic risk spillover data of each market,this paper analyzes these data combined with various indicators in the market based on different perspectives,and finally obtains the ideas and measures of systemic risk prevention in China's securities market.The research of this paper is divided into two parts: the first part is the calculation and comparative analysis of systemic risk,and the second part is the regression analysis based on the calculated results of systemic risk spillover.In terms of systemic risk calculation,this paper will make a vertical analysis according to the time,such as taking the financial crisis in 2008 and the stock disaster in 2015 as the time nodes,dividing the stable period and the outbreak period for comparison.At the same time,according to the different sub markets and different products of the securities market,this paper makes a horizontal comparative analysis,and makes a specific comparative analysis of different industries and varieties in the three sub markets of stock,bond and fund.In terms of systemic risk prevention,according to the characteristics of the three sub markets,regression analysis will be carried out from different perspectives,and systemic risk prevention measures based on these perspectives will be obtained.This paper is divided into eight chapters:The first chapter is the introduction,which points out the background of the research,proposes that the research object of this paper is the systemic risk measurement and prevention of China's securities market,expounds the theoretical and practical significance of the research,and introduces the research framework,research methods,main innovations and shortcomings of this paper.The second chapter is literature review,which introduces the related concepts and characteristics of systemic risk in the stock market,combs the related literature of systemic risk measurement and prevention,and makes comments and comparisons.The third chapter introduces the general situation of the development of China's securities market,and introduces the stock market,bond market,fund market and derivative securities market from three angles of development history,market characteristics and functions.Then based on this,this paper analyzes the performance and causes of two systemic risk outbreaks in China's securities marketThe fourth chapter introduces the main methods of this paper.The first section introduces the traditional CoVaR method of linear quantile regression and its calculation steps.In the second section,PLS method is introduced,and the CoVaR model based on PLS method is obtained by combining PLS method with CoVaR model.The third section introduces the nonlinear semi parametric regression into CoVaR method by considering that not all variables in financial market are linear relations,and proposes the CoVaR method of partial linear single-index quantile regression,and introduces its principle and calculation steps.The fifth chapter analyzes the systemic risk of the whole securities market in China.In this chapter,the systemic risk spillovers of the three sub markets to the securities market and the systemic risk spillovers between them are calculated by using the CoVaR model based on PLS method.The results show that the highest Systemic Risk Spillover of the three sub markets is the stock market,followed by the fund market,and the lowest is the bond market,while the difference between the stock market and the fund market is not significant.The Granger causality test proves that the main systemic risk sources in the stock market are stock market and fund market.Finally,through non parametric test,it is found that the systemic risk spillover in the fund market has declined significantly compared with that in the stock market after the securities investment company deleveraged.The sixth chapter studies the measurement of systemic risk in China's stock market,bond market and fund market.For stock market,this chapter calculates the systemic risk Spillovers of 11 primary industries to the stock market as a whole and to each other,and analyzes the results.It is found that the largest systemic risk spillover to the stock market is from the material industry,followed by the optional consumer industry and industry,the smallest is from the telecommunication service industry,followed by the health care and real estate industry.During the crisis period,the ranking of systemic risk spillover of financial industry to the stock market will be significantly improved,while the ranking of systemic risk spillover of daily consumption,real estate and health care industry to the stock market will be decreased.For debt market,this chapter calculates the systemic risk spillover of the national debt market,the financial bond market,the inter-bank bond market,the corporate bond market,the Commercial Paper market,the Medium-term Note market and the local bond market to the bond market as a whole and to each other,and analyzes the results.It is found that the biggest systemic risk spillover to bond market is from inter-bank bond market,followed by national debt market and financial bond market,and the smallest is Commercial Paper market.For fund market,the systemic risk spillovers of stock fund,hybrid fund,bond fund,ETF fund,monetary fund and QDII fund to the whole fund market and each other are calculated,and the results are analyzed.It is found that the highest contribution of systemic risk in China's fund market is from hybrid fund,followed by equity fund and ETF fund,and the smallest is from monetary fund.The seventh chapter studies the prevention of systemic risk in China's stock market,bond market and fund market.This chapter studies the systemic risk of China's stock market through the supply side structural reform perspective and trade war perspective.It is found that the supply side structural reform significantly reduces the systemic risk of China's stock market,while the trade war significantly increases the systemic risk of China's stock market.Then the paper puts forward countermeasures to prevent the systemic risk of China's stock market from the perspective of supply side reform and trade war.After that,this chapter studies the systemic risk of the bond market from the perspective of fundamentals and capital,and finds that the increase of benchmark interest rate which reflects the fundamentals will significantly increase the systemic risk of the bond market,and the increase of market interest rate which reflects the market capital will also significantly increase the systemic risk of the bond market.Then the paper puts forward the countermeasures to prevent the systemic risk of China's bond market from the perspective of fundamentals and capital.Finally,this paper study the systemic risk of the fund market through the inflation perspective and interest rate perspective.It is found that with the increase of inflation rate,the systemic risk spillovers of all types of funds have increased,while with the increase of interest rate,the systemic risk spillovers of monetary funds have decreased,and the systemic risk spillovers of other funds have increased.Then the paper puts forward the countermeasures to prevent the systemic risk of China's fund market from the perspective of inflation and interest rate.The eighth chapter summarizes the whole paper and puts forward the following policy suggestions based on the research results: first,we should continue to deepen the supply side structural reform,optimize the industrial structure,and improve the endogenous power of the economy;second,we should optimize the construction and reform of the securities market system;third,we should continue to improve and deepen the reform of interest rate liberalization;and fourth,we should establish a real-time and effective systemic risk early warning mechanism.Finally,the future research is prospected...