| Systematic risk of stock market is a kind of risk that exists in the stock market and can not be effectively eliminated by means of portfolio investment.Under the influence of various factors inside and outside the stock market,the systematic risk of the stock market will accumulate continuously.When the accumulation of systematic risk exceeds the critical point that the market can bear,it is easy to be affected by some accidental factors to trigger the stock market crisis.At present,with the continuous development of China’s stock market,its various basic systems are constantly improving.More and more enterprises raise funds through listing on the stock market.The stock market has more and more influence on the development of Chinese enterprises and even on the economic development of our country.The operation of the stock market is directly related to the sustainable development of the national economy and the happiness of people’s lives.Under this background,it is very important for the stability of the national financial system,the orderly development of the stock market and the protection of investors’ rights and interests to construct an effective index system to evaluate the systematic risk of the stock market and to warn the excessive systemic risk in time to avoid the outbreak of the stock market crisis.From the selection of early warning indicators,the determination of early warning interval and the weight of early warning indicators,this paper constructs an early warning indicator system for systemic risk of stock market.Firstly,from the perspective of economic theory,this paper analyses and summarizes the influencing factors of systematic risk in stock market,which provides a theoretical basis for the selection of early warning indicators of systematic risk in stock market.At the same time,through reviewing the stock market crash in 2008,the 2015 stock market crash,the NASDAQ bubble burst and the Japanese stock market crash in 1990,we summed up the changes in the various economic indicators during the previous stock market crisis,and provided some practical basis for the selection of early warning indicators.Secondly,referring to the recognized standards and previous scholars’ research results,combined with China’s actual situation,early warning intervals are set for early warning indicators,and for the first time,dynamic early warning intervals with more timeliness are set for early warning indicators with trend changes such as GDP growth rate and industrial added value growth rate.Finally,it breaks through the limitation of traditional fixed weight on the sensitivity of early warning index system,and sets dynamic index weight for early warning index according to the score of each early warning index.Under the condition that other conditions remain unchanged,the more serious the risk degree of early warning indicators,the greater their weight,and the greatertheir impact on the whole early warning indicator system,which effectively improves the sensitivity of the early warning indicator system.After the above three steps,this paper finally constructs a stock market systemic risk early warning index system which includes five first-level indicators,including domestic economic indicators,stock market indicators,bank security indicators,foreign economic indicators,emotional effects indicators of foreign capital markets and 21 second-level indicators,and uses this early warning index system for August-October 2007,March-May2015 and 2017.The systematic risk of China’s stock market was assessed in three stages from November 2001 to January 2018 to test its effectiveness.From the test results,the early warning index system has a good early warning effect.Whether it is the extreme decline in 2008 and 2015 or the non-extreme "slow bear" decline in early 2018,the early warning index system sends out risk early warning signals to varying degrees before the stock market declines,which shows that the early warning index system has good practicability. |
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