An Empirical Study On The Systemic Risk Prediction Of Chinese Listed Banks

In the theory and practice of capital market, risk measurement has been the focus of the problems, especially the systemic risk has received a great attention from both academics and practitioners. China's stock market as an emerging market with the transition, still exists many unfavorable factors, such as the imperfect economic system, the imperfect market environment and the immature investors. It also leads to stock price behavior by the impact of changes in the market, and systemic risk in stock o accounted for a larger proportion f total risk, so measure of systemic risk is particularly urgent.With the establishment and development of modern portfolio theory, economists put forward a series of systematic risk measurement method, andβcoefficient is one of the metrics that are widely used indicators.Compared with study abroad, domestic researches ofβcoefficient on China securities market were less, and some of the study related toβcoefficient was particularly prevalent in the CAPM model and test the validity of the empirical research and case studies; With the increasing number of banks to be listed, bank kind the stock in China's stock market share is more and more big. Due to the particularity of bank kind the stock characteristics, many studies in the sample selected tend to eliminate the bank kind the stock.This not only limits theβcoefficient in the application of theory, but also makesβcoefficient in the systemic risks and control measure of investment practice is not brought into full play.In this paper, the study of the systemic risk of listed banks analyzes theβcoefficient, verifies the time limit and the stability of theβcoefficient, and analyzes the influence factors, so the systemic risk of listed banks has been more clear Conclusion. This paper uses empirical research method to study systemic risk of Chinese listed bank kind the stock, selectes theβcoefficient as a mark, analyzes stability, timeliness and influence factors onβcoefficient using the method of empirical research, and in the process of research mainly uses the statistics and analysis of the econometrics. In the estimation ofβcoefficient of the sample bank, it mainly adopts the econometrics OLS method; In the study of the stability ofβcoefficient, it mainly uses the method of ADF; In the study of the effect of time of theβcoefficient, it mainly adopts Wilcoxon symbols rank inspection; In the study of the macroeconomic effects on theβcoefficient, it uses the combination of quantitative analysis method and Granger Causality Tests methods; In the empirical research on the basic characteristics of bank onβcoefficient, it uses cross-sectional data by using stepwise regression method of multiple regression analysis.The author concludes that theβcoefficient of listed banks is instable, and the averageβcoefficient of listed banks is larger than one in China by the research on the stability and influential factors of beta of Chinese listed banks. That is to say, the system risks of banking stocks are larger than the risks of Market Portfolio. In this paper, the study also found that the bank's capital adequacy ratio, core-capital adequacy ratio, non-performing loan ratio, undistributed profit per share, the growth of prime operating revenue and the growth of net asset have significant influence on it's beta, while the fluctuations of the growth rate of GDP and other financial variables do not. The paper not only enriches the correlative researches aboutβin China at present, which makes theβcan be put into practice better, but also has positive sense to the Investors'behavior, the stock market's improvement and Government regulation.