The Systemic Risk Of Commodity Exchange Traded Fund Path Analysis

Sociologists described the twenty-first century global system as the "butterfly effect": a butterfly in South America, flapping in the breeze could experience a series of energy conversion finally leading to a storm in the Caribbean. The relevance of the world has made the world to be a huge system. Once the system was damaged, the various factors within the system would difficult to survive alone, and every one of element would become the source of systemic risk, which is characteristic of systemic risk.Capital market is a risky market, especially the stock market. Systemic was the risk that could led to varieties of all transactions'prices on the market fluctuate, all investors will suffer the loss from systemic risk. Through the study the status of systemic risk of the Shanghai Commodity ETF we can learn that fluctuations in various exogenous variables is the main source of systemic risk in China capital market, the systemic risk s of China's exchange-traded fund market is always at a high level. The reduction and prevention for the systemic risk of capital markets, especially commodity ETF market, as the development of China's securities market, it has become the urgent problems to be solved. Low-cost commodity ETF is a good tool for the people who can withstand high-risk, meanwhile, it has been proved that the systemic risk is the main risk for the commodity ETF investor , its factors are numerous and complex.In traditional study, the "systemic risk" is hard to quantify, we must use other variables to weight them, we analyze the systemic risk of commodity ETF on the aspects of the status quo and causes, Then try to find out measures to avoid and reduce systemic risk, and the approach of stabilize the market for commodity ETF development.We made the theoretical and empirical research for causes of systemic risk through general factors and policy variables of the Shanghai commodity ETF. Studies have shown that the correlation coefficient and the absolute value in the first eight rows in order for observable variable and factors are: the price of crude oil, the producer price index, exchange rate of RMB, The price of gold, the U.S. federal funds rate, real exchange rate index, narrow money demand and foreign exchange reserves. this study used Monte Carlo simulations, assuming the U.S. sub prime mortgage crisis of 2008 broke out again ,then estimate losses to investors; finally, we carried out a commodity ETF systemic risk stress test system design.Through restructuring and institutional innovation of market and improve the function of the capital market is the basic trends of Chinese capital market. Through the systematic changes of the market we can find that with the development the Market, the systemic risks reduce gradually. However, due to fact that the institutional factors leading to systemic risk will continue to exist in a given period, the restructuring of capital markets and institutional innovation in uncertainty, and opening up capital markets could bring about some new potential risk factors, China's capital market's systemic risk of time will be at a high level in a longer period, so the government concentrate on the monitor the macro-level warning, the ETF manager's goal is High and stable growth of NAV.