Research On The Systemic Risk Factors Of The Industries In China's Securities Market

Since Markowitz proposed portfolio theory,risk of securities market has been a hot topic in academia and investors.Although there are a lot of researches in this field,but most of the researchers focus on the risk of the entire stock market,less attention to the systemic risk of specific industry.This paper mainly explore the systemic risk factors of various industries in China's securities market,hoping to make some contribution in this field.The paper present there are two risk factors affected the systemic risk of various industries in China's securities market,one is the relationship between the industries,the other is the common risk factors that every industry suffer.In order to research the systematic risk factors of various industries in China's securities market,the paper extract twenty-eight industries' closing price data of China's securities market from October 28,2008 to January 27,2016,and select the Shanghai composite index data,which represent the common risk factors that every industry suffer.And in order to consider the impact of these two factors on the system risk of the industry under different market conditions,the paper divides the time period into four stages,which is just two rounds of market conversion.In this paper,we first build the resonance index and the composite index to explore the influence of the relationship between the industries and the common risk factors to the systemic risk of various industries in China's securities market.Through the analysis and comparison of the two indexes of the twenty-eight industries in the four stages,we can find that the correlation between the industries and the common risk factors are the two main factors that affect the system risk of various industries.And the influence of the two risk factors to the system risk of different industries is different,the industry which market value small,its systemic risk is more susceptible to impacted by the relationship of the industries,and the industry which market value big,its systemic risk is more susceptible to impacted by the common risk factors.In order to explore the systematic risk factors further,the paper also uses the industry and the Shanghai stock index return series to establish the VAR model,variance decomposition method,the empirical result is the same as the index analysis.At the same time,whether the analysis of index or the variance decomposition,there are more than half of the industries showed that compared with the common risk factors the systemic risk of the industry is more susceptible to impacted by the relationship of the industries,which shows that the risk factors of the relationship between the industries in the systemic risk of various industries can't be ignored.So in finally the paper uses the Granger causality test and the Impulse response method to explore the relationship between the various industries.Through the study we find that the relationship of the industries is obvious,there are many guiding relationships between the industries.