| As the risk of China stock market increases, rational investors should not only pay attention to the value and expected returns of the stock, they should also take the potential risk into consideration. In this paper, Va R method was used to predict the risks of three important sections in China stock market. They are the main board, the small and medium-sized enterprises board(SME board) and the growth enterprises market board(GEM board). This issue also compared the risks among the different boards. On these bases, suggestions about risk controlling were proposed to the investors and the regulators respectively. The purpose of this study is to reveal the difference among different sections’ risk in stock market and to provide some reference for investors on how to control the investment risks effectively.The contents of the article mainly talked about four aspects as follows. Firstly, descriptive statistical method was applied to analyze the returns and volatility of the whole stock market and three boards. Secondly, Va R based on the GARCH model was used to predict the potential risks in the next two years. Thirdly, this essay explored the risk sources of the three boards. At last, Sharpe ratio, the comparative indicator, was applied to compare risks among the main board, SME board and GEM board.The empirical study has declared that it would be under certain risk to invest in the stock market for the following two years, and the potential risk of GEM board and main board in Shenzhen would be much higher than other boards. What is more, the risk of main board mainly comes from the systematic risk while the SME and GEM boards were affected by both the systematic and non-systematic risk. Last but not least, the GEM board was at the highest risk, the second highest was the SME board and main board has the lowest risk among the three.At last, based on the empirical analysis, the thesis proposes some plausible suggestions for investors and regulators respectively. |
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