Research On The Relationship Of Stock Market Abnormal Volatility And Systemic Financial Risk

Since 1980's,the financial crisis which consists of systemic financial risks erupts more and more frequent around the world.As a reforming and open developing country,China's economic and financial faces is facing more and more risks.Although China has not experienced a real financial crisis,it is deeply endangered by systemic financial risks.June 2015,China's stock market happens "crash" event,once again let the Chinese people feel the destructive of systemic financial risks.Since June 12,after a short 17 trading days,the Shanghai Composite Index plunged 32.1%,the total market value shrink 30%,the market value evaporate about 28 trillion.This is only the stock market data,if the Chinese government and regulators did not take effective measures in time,the stock market will continue to collapse and will trigger the Chinese financial crisis.Although the history does not again,but for systemic financial risks and the stock market "financial crisis" has become the academic,practical,government consensus knowledge.So,study of the relationship between the China's system financial system risk and the stock market of abnormal fluctuations will have important practical significance.Based on the reality of China's stock market,this paper use from 2005 to 2016 about the stock market and China's financial system data to research the present of China's systemic financial risks situation and characteristics and innovation using synchronization index of the systemic financial risk and financial pressure index method(FSI)to quantify the financial system and financial market pressure.When the stock market in the period of abnormal fluctuations,the index showed China's financial system and financial markets are faced with severe systemic financial risk;Based on the analysis of the reason of the changes in index,this paper will use the CoVaR method to quantify the spillover effect of the stock market's systemic financial risk,empirical obtained in abnormal fluctuation period,the stock market gives the bond market and foreign exchange market systemic financial risk spillover effects are strongest,and risk spillover effect on the currency markets have significantly decreased;Finally,this paper will designs predictive equation,which display the relationship between the stock market abnormal fluctuation and the systemic financial risk.This paper study results will enrich theoretical study results in this field and provides suggestions for macroprudential supervision of the China's systemic financial risks.In this paper,a total of six parts: the first chapter is introduction;The second chapter is literature review;The third chapter for the stock market volatility analysis;The forth chapter for the study of the China's systemic financial risk,on the basis of theoretical analysis of systemic financial risk to construct China's financial system pressure index and financial market pressure index;The fifth chapter researches the relationship between stock market abnormal fluctuation and systemic financial risk,quantify the stock market's systemic financial risk spillover effects as well as the design risk prediction equation;The sixth chapter is conclusion and policy advice part,summarizes the full text and puts forward relevant policy suggestions.