| In resent years,China's stock market is developing rapidly and becoming more standardized.Many scholars have conducted empirical research on the risk-benefit relationship in China's stock market,but the relationship between risk and return in China's stock market has not reached a unified conclusion.This article discusses this hot topic using the VaR(Value at Risk)model,GARCH(Generalized Auto Regressive Conditional Heteroskedasticity)family model and correlation coefficients.Selecting the Shanghai A Share Index,Shenzhen Component Index,CSI 300 Index and Hong Kong Hang Seng Index as the research object.The research data is daily data from September 30,2005 to September 29,2017.The data is divided into three phases to compare the risk-return relationship of the global financial crisis in 2008,which affected that time of China's stock market.This study starts from two levels.One is to compare the three stock markets in Shanghai,Shenzhen,and Hong Kong in order to find the differences between different markets in China's stock risk-return relationship.The second is to process the data before and after the financial crisis in stages,hoping to find out whether the occurrence of the financial crisis has an impact on the risk-return relationship in China's stock market.A GARCH-VaR model was established for each of the four indices in the early,middle,and late stages of the financial crisis.The VaR model was used to calculate the risk value.Calculating the correlation coefficient between the risk value and the income,the obtained 12 results show that there is a weak correlation between the VaR and the return,and the relationship between the stock market return rate and the VaR with strong openness is positive.The correlation coefficient of the same stock index in three periods does not show a strong regularity,but it can prove that the occurrence of the financial crisis has a certain impact on the risk values of the three stock markets. |
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