Measurement Of Systematic Risk In A-share Market And Analysis Of Influencing Factors

Financial risks have always existed,but in the past,the high-speed growth trend of China’s economy has hedged some financial risks to some extent.At present,China’s economic growth rate has changed from high-speed to medium high-speed development,financial deleveraging and structural adjustment are significant,and financial risks gradually or speedily appear.At the same time,the pace of China’s capital market opening to the outside world is speeding up,the participation of foreign capital in China’s financial market is increasing,the domestic and foreign capital markets are more closely linked,and the cross-border flow of foreign capital will also cause significant fluctuations in the financial market.As an important part of the financial market,A-share market is bound to bear the brunt,therefore,the systematic risk change and impact on the market The study of market systematic risk factors is of great significance.This dissertation A-share listed companies are selected as the sample to analyze the changes of systematic risk in the securities market after the removal of the suspended stocks.The sample data range is from January 2009 to December 2018.Through statistics,it is found that the systematic risk of A-share market has been significantly higher since 2009.With the passage of time,although the systematic risk in some years has been reduced,for example,the average proportion of systematic risk in 2014 has been reduced to 20.39%.But on the whole,systematic risk has no obvious downward trend.Compared with the developed securities market,the proportion of non systematic risk in the total risk is still relatively low.Systematic risk of different industries is concentrated in one range and the risk fluctuation is relatively consistent,so portfolio investment still can not play a good role in China’s securities market.Then,on this basis,extract 2012 Based on the relevant monthly data from January to December 2018,this paper empirically studies the factors affecting the systematic risk of the stock market,such as consumer price index,US dollar index,margin trading and so on,through a variety of measurement methods.The empirical results show that there is no long-term equilibrium relationship between the RMB exchange rate index,financing transaction and the systematic risk of the stock market in China,and the consumer price index,US dollar index and so on There is a positive correlation between the systematic risk of the A-share market and the margin trading,and there is a negative correlation between the systematic risk of the A-share market,.Finally,according to the results of the empirical study,in order to prevent the systematic risk of the stock market,this paper puts forward relevant countermeasures and suggestions,including emphasizing the important influence of various factors on the systematic risk of the stock market,promoting the construction of the index evaluation system of the systematic risk of the stock market and strengthening the basic system construction of the stock market.