The Risk Research In China Stock Market 1995-2003

Risk is the key question in the financial field. The direct influences brought to stock market by the risk accidents are: the securities assets rapid depreciating (burst of calamity), every economic entity suffering losses (the investors , fund-raisers and the country ). Here, losses do not merely include tangible loss such as investor's assets, also include ivisible hereditaments, for instance, investor's confidence, the enterprise finance facing difficulty, mauled economic development. The analysis of risk structure in stock market help us to understand the market deeply, thus make the scientific invest managemnet and correct tactics of risk management.The traditional risk structure analytical method divides the risk of the stock market into the systematic risk and non-systematic risk, and then averges the sum. we use weekly and monthly data, and combine the exsiting daily data to compute the annual average porportion of the total risk that systematic risk takes. It can comparatively reflect the risk characteristics of the stock market accurately.The traditional risk analytical method neglects the dependence between each part of the risk structure. It stays at rougher level and lose a large amount of useful information. In this article,we porpose and adopt a new risk stucture analytical model, based on variance analysis. We divide the volatility into three parts;the market risk, the industry risk and the company risk and investingate the time trend, characteristic and the dependence among the three parts. We detect the risk stucture over the past 9 years in Shanghai and Shenzhen stock market and draw the relevant conclusions.What cause the risk structure change? we think " policy " is the origin of the high systematic risk. And the potential reasons also include the disclosure of the listed companies' information, the investors' structure, the financial risk of listed company, the listed companies' management, the stock market supervision and standardization.It indicates that the risk of Shanghai and Shenzhen stock market appears downward gradually. Particularly, the risks of industry and company dropped more remarkable in recent years. It is significant in practical investment. We propose "dumbbell type" invest and analyse tactics, different from the traditonal "from bottom to top" and "from top to bottom" invest tactics. Suggest investors to pay attention to the the company and general trend analysis, adjust the section allocation properly based on careful asset alloction and company choose.The article is arranged as follows;It is the foreword at first; Chapter One is the definition of the risk in the stock market; in Chapter Two, we introduce the theory background of theinvestment risk of stocks and existing research results; Chapter Three, the empirical study of the systematic and non-systematic risk in China stock market; Chapter Four, we derive the new mathematical model that analyse the risk structure of stock market. And on this base, we have an empirical study using the historical data. According to the result, we investigate the risk change trend, the risk characteristic and relations among every part of the risk. Chapter Five probe into the possible reasons causing the risk structure to change, analyse the relation between volatility and economy further. Chapter Six is the pratical effect of the risk structure analysis for the asset management and portfolio; Finally, we summarize the full article.