An Empirical Study On System-risk Fluctuation Of China's Stock Market Before And After Reform Of Nontradable Shares

The Chinese Stock market undergoes less than 20 years development,already began to take shape,is playing more and more vital role in the economic development.for example increasing the financing channel,disposing the social resource,and so on , Stock market promots enterprise superior win and the inferior wash out ,Relationship between the stock market and the entire social economy are close day and day. Meanwhile,domestic and foreign stock market disturbance occurs frequently,Regardless of the American stock disaster in 1929, the US stock market collapses event in 1987,the Japanese negotiable securities scandal in 1996, Southeast Asia financial storm in 1997 internationally , the stock market non-rationality drop because of the state-owned shares falls suddenly in 2001, Notwithstand 2007 American subprime mess,has left behind the enormous shadow,These phenomena have promulgated huge risk in the stock market,The risk are the world stock market's general character.Risk-control involve to risk-measurement,the reasonable measurement and monitors is very important to the risk prevention,Compares with the overseas stock market, many questions has existed in the Chinese Stock market,for exemple the market P/E excessively high,the system risk oversized,the policy oriented-market phenomenon obvious.The phenomenon has the a magnitude of relations with Nontradable Shares which has existed with our stock market ,the Nontradable Shares inherent flaw :Distorting the securities market pricing mechanisms , lack of common interests in corporate governance ,not conducive to deepening the reform of the management system of state-owned assets; not conducive to the acquisition of listed companies restructuring of the international capital market, restricts the process and product innovation; not conducive to a stable market expectation,All these flaw do not favor stock market's healthy development,Therefore to promote stock market's healthy development,since October,2005,the Chinese Stock market has started the comprehensive Reform of Nontradable Shares,the Reform of Nontradable Shares made the non-tradable shares obtain the circulation status through consideration and right offering,along with Reform of Nontradable Shares's expansion,in the Chinese Stock market ,the value in circulation expanding rapidly,simultaneously with the red chips returning,The Chinese Stock market was having a more abundant foundation. Generally speaking In the stock market listed companies come more,quality of listed companies become better,then stock market's systematic risk should be lower,the non-systematic risk occupies should be higher.This article mainly utilize property Capital Asset Pricing Model on the measurement of stock systematic risk including the time before and after Reform of Nontradable Shares,By the mathematical statistic method calculate the stock system risk difference, On the random sampling method foundation, This paper selects 100 listed company , uses two index :the week returns ratio, the month returns ratio, apply the mathematical statistic method in calculation of system risk difference degree before and after Reform of Nontradable Shares, The computation result by week returns ratio including the system risk, is stabler than computation result by the monthly data, but the tendency is same. Its conclusion is: After the Reform of Nontradable Shares ,The Chinese Stock market's system risk drops obviously;The system risk appears the rise sign in 2007; Risk difference between various share plates is remarkable;the overall fluctuation amplitude drops; The short-term income is higher than the long-term income ;This cause the market gamble atmosphere to be serious; on the foundation of system risk measurement ,this artcle derive change of incucement to system risk, for example , the unassymetrical policy operation, deficit of the fund supplies, the level of market new stock release and so on ,are the primary cause that the system risk forms; According to the above consideration ,this paper proposed policy suggestions:reforms: the new stock release system;adopts the symmetrical explicit policy operation;the maintenance of economic growth rate, quality-enhancement to listed company so on.