The Analysis Of Stock Investment Risks Under The Best Portfolio

From the theoretical research of the portfolio spreading the risk, extreme value can be achieved, the non-systemic risk can be completely scattered out, but the systemic risk still stands still. In that case, the research of portfolio investment risk converts to the research of the market systemic risk. Furthermore, this paper illustrates theoretically the factors influencing the systemic risk which include GDP, inflationary rate, monetary and fiscal policy, demand and supply of the market, tax system, bonus system, audit system for stock issuance,and split-share reform.Following the theoretical analysis, this paper carries out the comparative analysis and factor analysis respectively, which concern the investment risk and the market systemic risk under the best portfolio. We have chosen 30 stocks from the Index of SSE 180 and the monthly yield rate from December 31st of 1995 to December 31st of 2008 as the factors for the research. We have chosen the closet 3 years as one research period, in that case 11 periods can be concluded. Via the random equal right method, portfolio can be constructed and the risk value of each period can be calculated. Furthermore, the best portfolio of each period and the risk condition under that portfolio can be obtained. On that basis, we can come to the final conclusions:the investment risk can be reduced effectively in case of the portfolio construction, investment risks under the best portfolio would follow the trend of dropping then increasing which was determined by the market systemic risk. The factors of the GDP, CPI, the deposit and lending interest rates, institutional investors scale, the market expansion rate,and market policies are selected to compare with the SSE Composite Index, finally obtain the influence of the systemic risk of each factor in the process of the development of the stock market.At last, according to the factors which give rise to the stock market systemic risk, we make some suggestions on stabilizing the stock market and stabilizing the market volatility.