A Study Of Systemical Risk In Stock Market Under Different States

Influenced by economic globalization and finance integration, basic and structural changes happened in the global financial market, Meanwhile, the systematical risk of the financial market aggravated greatly. Risk management becomes one of the key competitiveness of the commercial enterprises and the financial institutions; it is also a key content of financial project and modern financial theory. Concerning the measurement of the risk of stock market, this paper has done the following job: firstly, we regard market states as the breakthrough point, and use the VaR method based on ARCH model to analyze the basic state of the risk in Chinese stock market. Furthermore, we point out that the risk in Chinese stock market is affected greatly by policy factors and the stock price presents certain asymmetry.Secondly, comparing synthesis BB regime switching system which is put forward by Bry & Boschan with Markov chain regime switching system which is put forward by Hamilton, this paper examines the different exchange points of state in Chinese stock market in terms of real example, and confirms bull and bear market and displays each characteristic.Thirdly, based on different market states, this paper compares the characteristics of β in different industrial portfolio, examines the relationship between expected return and risk in different states, and offers an analysis and method for the following study, such as prediction, control of the risk and management of portfolio, etc.Finally, Proceeding the downside risk, and assuming that VaR is the better risk measure tool, a new capital asset pricing model and new systematical risk measure based on VaR are derived from mathematics and theory in this paper.In summary, the state that reflects market information synthetically can demonstrate different characteristics. There are reasons to believe that risk analysis of stock market based on different market states offers an important consultant basis for investors to adjust investment decision accordingly and for the government to use the currency, finance policy and supervision measure rationally.