An Empirical Analysis Of The Current Risk Characteristics Of China 's Securities Market

After30years of development, China’s securities market are facing a critical period. Compared with the original stock market, the market of small board and the GEM market are added and China’s securities market are solidly stepping towards a multi-level capital market. What are the risk characteristics of the different sections of the market? How are their performances?To solve these questions, divide the China’s security market into the Shanghai A shares, Shenzhen A shares, SME Board and GEM four major market segments, and analyze their risk characteristics and performance. Firstly, make an overview and comparison of the history of Earnings risk model and CAPM model is chosen for further empirical study; Secondly, in the empirical part, relying on127stocks which are selected randomly, make regression analysis respectively, get the ratios of P value, stocks risk, systemic risk of each segment into the overall risk. Besides conduct a study to determine risk performance of different industries in different market segments; Finally, in support of the empirical results, risk characteristics of China’s securities market is to be interpreted, and raise policy advice on the risk control of China’s securities market.The results of the study show that the ratio of system risk to overall risk of individual stocks is reasonable; individual risk of the GEM stocks is significantly greater than the other three market segments; the ratio of system risk to overall risk of China’s securities market are at the mean level of the history for the past year, failed to significantly decreased; risk performance of some industries are the same in each market segment while in some industries, there is a big difference.And the differences of risk in the stocks of inter-industry can be partially met investors’ risk aversion requirementsAfter explaining the results, raise advise that the risk control should focus on supervision, education and ways of Risk hedge of the future development of China’s securities market and provide reasonable references for policy-makers and regulators.