| Systematic risk jeopardizes financial markets.In a period of high system risk,crisis in only a financial institution or a financial product may endanger the entire financial system.The conduction process of this risk is complex,that is,it has certain endogeneity and certain exogenous.The same is true in the futures market,thus it requires some research on futures systematic risks.Although the term “system risk” does not make us feel fresh,researchers did not pay enough attention to it before the financial crisis in 2008.So far,for the study of system risk in the futures market,most of the researchers only studied the conduction relationship between the price risks of certain two of futures varieties,a few researches studied on the futures market as a whole,and the models used in these studies are all linear model.This paper focuses on the systemic risk of the futures market,proposes innovations in methods,uses nonlinear models to study the risk transmission law of the entire futures market,and discusses the extent of impact on the systemic risks from policies or events on the Chinese futures market from 2010 to 2018.As a new market-oriented reform product,Chinese futures market has experienced more than 20 years of development and is gradually maturing.As China officially became a member of the United Nations World Trade Organization on December 11,2001,China is gradually integrating into the world financial market.The futures market will have a more complex response with the complex economic situation of the world.Many market participants and government managers have been plagued.Many foreign literatures have pointed out that commodity futures have the effect of price discovery and hedging.In addition,metal assets have their unique financial attributes,and commodity futures have an important relationship with the spot.Commodity futures can also resist inflation and diversify investment risks.This complex futures market reaction make governments and market participants to facing serious problems because they cannot predict future the changes in the market.On the one hand,what the government has to do is to stabilize the market and prevent large-scale economic fluctuations in the market;on the other hand,market participants will make corresponding risk management decisions based on different market reactions.When financial risks occur,finding out the risk transfer mode of such futures markets can play a positive role in government management,investment by market investors,and risk aversion by vendors in the spot market.In order to study the systemic risk of the futures market,this paper uses a variety of financial measurement models: (1(1(1(1(1(1,(1(1(1(1(1(1,(Single Index Model),.In these four models,(1(1(1(1(1(1 is to measure the risk of each future,and the calculation of (1(1(1(1(1(1 here not only needs to consider its own price information,but also consider macroeconomic variables;(1(1(1(1(1(1 is to facilitate the calculation of the impact to the risk status of the target futures from other futures which is under their risk conditions.Of course,this calculation process also considers macroeconomic variables.Similarly,this measurement method allows us to calculate the impact of systemic risk on the price risk of each futures product;Due to the increase in the number of independent variables,the model of this paper must be a high-dimensional model.Then the selection of variables is a necessary process,so this paper uses the nonlinear LASSO method to filter the independent variables of the estimated system risk.The "non-linear" here is achieved by the SIM.In order to verify the validity of the model established in the futures market,we first calculate the time series of the system risk of China's futures market from 2010 to 2018,and take the certain important events in China since 2010 as the entry point.It also explains the impact from these four important events on the risk conduction relationship among the system risk and futures varieties in China's futures market,and points out the importance of the price risk of each futures product in different periods to the system risk in the futures market,and also pointed out futures that have a major impact on system risk.This article is divided into the following six parts:The first part elaborates the research background and research significance of this paper.From the initial emergence of the futures market violation trading scandal to the gradual improvement of the futures market system,the Chinese futures market has undergone a tortuous development process.In this part,this article mainly describes the development process of China's futures market,and four major events affecting the operation of the futures market between 2010 and 2018.The second part explains the important mathematical concepts and mathematical models that are needed in this paper.In this part,it first introduces an important theoretical knowledge developed by academic community after the 2008 financial crisis – (1(1(1(1(1(1,and then focuses on the (1(1(1(1(1(1 calculation method used in this paper.The method used in this paper to calculate (1(1(1(1(1(1 is the quantile regression calculation method.The third part introduces the SIM for the nonlinear parameter estimation and the LASSO model.Among them,because of the nonlinear parameter estimation,the SIM here basically estimates the parameters of the model through numerical operations,which is very helpful but the program operation time is quite long.The model allows this article to avoid the problem of dimensional curse that is prevalent in linear estimation.The fourth part details the sample of futures varieties used in this paper,the data and time interval used in the selected time period,and the steps of using the research methods in this paper.The fifth part elaborates the research results of this paper.The research results of this paper show that China's futures market system risk is at a high level,and China's futures market system risk is greatly affected by the four events mentioned in this paper.In different time periods,this paper finds the main futures varieties that cause systemic risks,and finds that different futures classes are affected differently by the certain events mentioned in this paper at different times.The agricultural products market is more affected by markets than the metal.Ore futures are weak,and gold futures and silver futures have very low risk premiums to other futures varieties.The sixth part is the summary of the research conclusions of this paper. |
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