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The Measurement And Analysis Of Affecting Factors Of The Systematic Risk On Our Stock Market

Posted on:2003-01-04Degree:MasterType:Thesis
Country:ChinaCandidate:S Y XingFull Text:PDF
GTID:2156360095456627Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
Tough we have experienced the developing phase of ten years, we can easily find that the obvious flaws in our stock market according to the discoveries of previous research. The most important point is that our market is seriously ineffective and certain function is severely hampered. The price is incompatible with the real value of the stock, thus the function of allocating resources of the capital market cannot work normally. Researching from the fluctuation of the market,we can find the prices of all the stocks always fluctuate simultaneously, so the investors cannot elude the systematic risk effectively by selecting certain kinds of stocks or building portofolio combination. Then the goal of maximizing profits cannot realize relatively. Even if the institutional investors have enough money and experiences to constitute profitable set, they cannot still elude systematic risk. On the bases of our analysis, the research of systematic risk in our market will benefit both individual investors and institutional investors. Many researchers find the multiplied investment can help eliminating certain risk exposed to the investors, but the specific premiums of the theories is inapplicable in our market. In our research, we begin with the evaluation of the risk, find the related reasons of the invalidation by collecting and analyzing real data of our market. Through analysis, we conclud that the systematic risk cannot be neglected by all the investors. So we need to find the reasons of generating systematic risks in our stock market. On the basis of the original model of CAPM, we make some adjustment when evaluating the risk of our stock market, changing the situation of thinking over only one single factor of the conventional models and neglecting the impact of different periods on the fluctuation of the market. In the resent years, our stock market developed very soon, more and more listed companies appear in the board. Accompanied by the fast development of the market, the liquidity should be strengthened too. In a market whose liquidity and the selection of kinds of investment is limited, the investors cannot elude systematic risk effectively. So we should introduce new kind of investment tools and strengthen the variety of investment. If we introduce a certain kind of financial derivatives, investors can minimize the systematic risk they confront by the adverse operation in the derivative market. So we discuss the necessity and the applicability of introducing certain financial derivatives in the last phase of the dissertation.
Keywords/Search Tags:Systematic Risk, Validity, Time Sequence, Empirical Analysis
PDF Full Text Request
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