A Study On China’s GEM Systematic Risk Assessment And Influencing Factors

With the launch of China’s GEM, a series of problems are coming out. Such as, high issue price, high price-earnings ratio, superb raised and breaking, IPO financing money to231.5billion, shareholder loss of18.3billion, substantial decline in performance, Executives quit to cash and so on.It raises more concern about systematic risks, which is not conducive to the healthy and stable development of China’s GEM. In such a case, it is necessary to study on China’s GEM market systematic risk assessment and influencing factors.According to the Capital Asset Pricing Model, this paper conducts a quantitative analysis on the systematic risk of China’s GEM, indicating that during2011to2012, the systematic risk proportion of China’s GEM is47.136%on average, which also is in the30.725%-59.873%range trade, remaining an upward trend as a whole. Furthermore, the author compares quarterly data of systematic risk proportion with China’s GEM index over the same period and finds that systematic risk and stock index fluctuations show negative correlation, indicating that China’s securities market has a unilateral operation characteristic. It leads Investors cannot effectively mitigate market risk in the absence of financial hedging tools.Then this paper selects indicators from four aspects, which are the gross domestic product, inflation rate, deposit and loan interest rates, policy factors, and analyzes how these elements affect the systematic risk during June2010to December2012. The result shows that Market policy changes have significant impacts on the systematic risk. The gross domestic product and inflation as reflected China’s macroeconomic fundamentals only have few impacts on the systematic risk in the individual time. The introduction of major policy events lead to more intense market volatility, resulting in the accumulation of systematic risk. China’s GEM remains certain "policy market" characteristics.