Study On Risk Analysis And Risk Measurement Of ST Stock Price Volatility

Since the listing of stocks, the domestic and foreign scholars have been engaged in in-depth investigation and research on stock market risk control. Currently a number of risk control measures are useful primarily more mature theory and risk analysis tools. Including its:Security marking up,CAPM,Value analysis of Investment VaR model. At present, the Chinese stock market, especially the ST stock market mechanism is not perfect, the listed company's asset quality and operating standards are also different, more speculative stocks to investors the risk of heavy and relatively simple preventive measures. Therefore, we should be in the original theoretical basis for the development and improvement of China's actual conditions consistent with risk assessment and management system.In this paper, from risk-based theory, step by step studied the characteristics of ST, made several risk measures from many angles, established a relatively complete system of risk control. The thesis, using qualitative and quantitative research methods along with case studies, studied characteristics of ST liquidity risk. This paper has applied VaR(Value-at-Risk) namely the risk value theory to carry on empirical Study with ST stock index returns in our country and with Case analysis described the risk of investment on ST stock.This article has been divided into four major parts. The first part has described the characteristics and the presence of various risk of ST stock,and provided the basis for controlling investment risk of the ST stock; The second part has carried on the positive analysis with ST stock index returns in our country by using GARCH model; The third part has used case analysis to reveal the status of our ST company and its investment risks; The last part has probed into the risk control strategy and countermeasure and systematically set up the investment risk control system.