The Systematic Risk Analysis Of China Securities Market

The systematic risk and unsystematic risk structure of securities market influences the requirement of investor for the risk hedge way. The analysis of securities market risk structure can offer the suggestions for the investor and government.This article calculates the , total risk and the systematic risk proportion of the China securities market from the 2002.7.1. The study subject is the stocks of Shanghai 180 index, the study period is week, the study model is the market model of CAPM. Through the study, from 2002.7.1 to 2004.12.31, total risk of the market is between 0.0523 and 0.09, the average is 0.0689(standard variance of the yield); the systematic risk is 36.57% of the total risk. During the whole study period, the proportion of systematic risk is lower and lower. Especially in recent years, the proportion of systematic risk fluctuates in the narrow range and regresses to the fixed value. The difference of each stock systematic risk is larger and larger, the speciality of each stock is more visible.The systematic risk of China securities market is steady, but still trails the developed country and is hard to depress. According to the overseas experience and the domestic practice, for reducing the risk of China securities market more to protecting the benefit of investors and promoting the development of securities market, China must build the hedge mechanism and push the risk hedge instruments as soon as possible.