The Systemic Risk Of Policy Bull Market

In the opinion of mainstream economists,price changing of stock market has pure randomness characteristics,which subjects to a random walking process,and the process tends to be described as geometric Brownian motion by finance academics or statisticians.However,in reality,people can really observe the stock market price changing trend phenomenon.When the stock market price changing shows a trend of rising during a period,the market running situation is called a bull market;Conversely,when the stock market price changing shows a trend of sustained decline in a period,the market running situation is called a bear market.The alternating movement of the bull and bear market is called as the stock market periodic phenomena.If we say that stock market is only the actual economic barometer,the meaning of discussing its investment returns and risks in stages is not big.But when the stock market does not play the role of actual economic barometer,the returns and risks of securities market investment may show significantly different characteristics,and the studying of which in stages has particular significance,this paper only choose the bull market phase to be studied.Now a large number of empirical studies show that securities market operation in our country not only has no the role of economic barometer,but also shows the obvious characteristics of policy market.This means that in the operation process of the securities market in our country,on the one hand,the bull market is driven by the major economic policies,and on the other hand the bull market driven by the policies is lack of basic fundamentals,which must results in that the bull market running showed as the continuous accumulation of systemic risk.When the policy effect is to release out,a systemic crash storm is inevitable.This paper is based on the systematic carding of previous studies,closely combined with the running features of the stock market in our country,mainly discussed the accumulation process and evolution characteristics of systemic risks of securities market running during the bull market in our country,and discussed the identification for the turning point of the bull and bear market on the basis of risk evolution characteristics,provides scientific basis for investors to make and optimize the risk management strategies and trading strategies.The paper takes the yield of Hushen 300 index and Hushen 300 top ten industries index as the breakthrough point,and the market model based on the capital asset pricing model as the empirical model to investigate.Theoretical analysis and empirical validation results show that as time goes by and the change of macroeconomic background and capital structure,the proportion of systemic risk of bull market under policy and total risk has the change trend of gradual decline.But as the use of tools such as market leveraged funds at present,that proportion is enlarged.The systemic risk of bull market under policy is accumulated form as the release of policy gradually,when the releasing of policy positive effect is finished,a systemic stock market crash follows.Under different situation of bull market and bear market,the proportion of systemic risk and total risk has significant differences.And the risk coefficient of ? is less stable when policy bull market turning to bear market,therefore,it is extremely important to identify and distinguish the market situation for investors.