Research On Systematic Risk Measurement And Early Warning Of Stock Market

The subprime mortgage crisis has exposed the procyclical characteristics of the financial system and the huge impact of systemic risks,making macro-prudential supervision become a hot topic in the theoretical and practical circles.Based on the perspective of macro-prudential supervision,this article studies systemic risks in the securities market.First,define the concepts of macro-prudential supervision and systemic risk in the securities market in detail,and clarify the relationship between macro-prudential supervision and micro-prudential supervision.Secondly,combined with the case of market crisis,analyze the occurrence mechanism of systemic risk in the securities market.The systematic risk of the securities market is fundamentally different from that of the banking industry.According to the source and exposure of risks,a complete measurement of the systematic risk of the securities market should include at least micro-prudential indicators,macro-prudential indicators and stock market indicators.Through empirical statistics and analysis of historical data,this article selects objective indicators from the macroeconomic dimension,the stock market dimension and the securities institution dimension to comprehensively measure the systematic risk of the securities market.On the basis of reasonable measurement of systemic risk,the early warning value of the systemic risk index is determined,and the validity of the early warning value is tested based on historical facts and mathematical models respectively,and then provides a basis for the countercyclical supervision of the securities market.The establishment of a systematic risk measurement and early warning model in the securities market is an important part of macro-prudential supervision.Investors can judge the market operation according to changes in the market risk index and use it as a reference for investment decisions;According to the market risk index,the regulatory department can choose what kind of macro-prudential supervision tools are used and the period of use of macro-prudential supervision tools.Once the systemic risk of the stock market exceeds the warning value,it is necessary to immediately use relevant tools for counter-cyclical supervision.The essence of this basic idea is to adopt differentiatedsupervision methods and supervision standards according to the different cycle stages of economic operation to ease the economy.The impact of the cycle on the financial system is of great significance to ensure the stable development of the securities market.This article finally came to the following conclusions: First,the securities market must conduct macro-prudential supervision.Second,macro-prudential regulation does not necessarily exclude micro-prudential regulation.Macro-prudential regulation is based on micro-prudential regulation,and there is a complementary relationship between them.Third,the measurement of the systemic risk in the securities market requires the establishment of a quantitative index system with objectivity,availability,and comparability from a multidimensional perspective to calculate the systemic risk index in the securities market.The results show that before each stock market crisis,there is a large accumulation of systemic risks.Fourth,on the basis of reasonable measurement of systemic risk,determine the early warning value of the systemic risk index.The determination of early warning value should be considered in stages.After the reform of new stock issuance in 2001,the early warning value of systemic risk in the securities market was 26.5538.After historical fact verification and mathematical model test,the early warning value was considered to be more reliable.In order to strengthen the macro-prudential supervision of the securities market and prevent systemic risks,the suggestions of this article are as follows: First,the establishment of a macro-prudential supervision institution in the securities market;second,coordination of macro-prudential supervision and micro-prudential supervision;Third,macro-prudential supervision should be forward-looking.