Study On The Measure Of Systemic Risk And The Influence Of Risk Factors In China's Securities Investment Funds

The prevention and control of systemic risks is a crucial policy orientation in China's economic and financial operation,and has been a major economic and financial issue that the central government has been paying close attention to since the18 th CPC national congress.Since 2012,the annual central economic work conference stressed systemic financial risk does not occur to hold the bottom line,at the same time,in the process of "seek improvement in stability and economic,China has adopted a series of positive measures to control and defuse financial risks,and made some very important achievements,hold on to the bottom line of systemic financial risk does not occur.However,against the backdrop of changing domestic and international situations and tense relations between major countries,the situation of preventing and controlling systemic financial risks is still grave and we should not take it lightly.With the increasing influence of the financial market on China's economy,the structure of investors in the stock market dominated by retail investors has brought many disadvantages to the effective operation of China's stock market.In order to further optimize the investor structure and improve the ability of financial services to the real economy,institutional investment represented by fund companies has made great progress in the past few years.By November 2019,China had issued 5,759open-ended funds,with a trading volume of nearly 14 trillion yuan.Moreover,it is not uncommon for investment funds to enter the top ten shareholders of the companies in which they invest.Because investment funds have large asset scale and their asset managers are fund managers with rich professional knowledge,investment funds bear more responsibilities than small and medium investors in maintaining market stability.However,with the increasing influence of fund trading,once investment fund managers make investment mistakes or risk events,they may cause a large negative impact on the financial market,which will affect the market stability,cause the accumulation of systemic risks,and even lead to the outbreak of financial crisis.Therefore,effectively measuring and preventing fund risk is an important part of preventing systemic financial risk.In order to effectively measure fund risk and clarify the causes of fund risk,this paper firstly adopts markov zone system transfer model to construct dynamic systemic risk measurement index of China's investment funds,and then analyzes the impact of fund management and macroeconomic factors on fund risk by panel Logit model.This paper is divided into four chapters.The first chapter expounds the research background and significance of the paper,and summarizes the research status and related literature of systemic risk and fund risk at home and abroad.The second chapter mainly describes the theoretical basis and measurement methods used in the modeling process of this paper,including markov value transfermodel and panel Logit model.The third chapter adopts the data of China's fund investment type index,and based on the markov zone system transfer model,constructs the dynamic systemic risk measurement index of China's investment fund,in order to identify the systemic risk status of fund institutional investors and the impact of landmark events on China's fund institutional investors.The results show that FSRI,a measurement index of systemic risk of investment funds,can accurately identify the systemic risk status of China's investment fund market from 2007 to 2018.The situation of capital market and money market's systemic risk basically presents the inverse relationship between one and the other,which reflects the reliability and effectiveness of the index in measuring the level of financial risk in China's fund industry.In chapter four,based on the data of China open fund,the dynamic fund risk measurement index is constructed by using markov zone system transfer model,and the panel Logit model is used to analyze the impact of fund management and macroeconomic factors on fund risk.The results show that,at the micro level,funds with high fund manager competence and stable fund management team can effectively reduce the fund risk,and the influence degree of higher stock investment ratio on fund risk is stronger.At the macro level,the higher the uncertainty of economic policy,the greater the possibility that the fund is in a high-risk state.At present,China's economic development is faced with many uncertain factors,and the research conclusion is of great practical significance for China's securities market to guard against the market risk of the fund investment industry and the regulatory department to control the system risk.According to the research results,this paper gives the following economic Suggestions for preventing fund risks: firstly,fund risks should be fully understood,fund risks should be quantified in different levels and from different angles,and macro and micro risk factors should be investigated to facilitate fund risk management from the source.Secondly,in view of the current situation of imperfect risk management system,we should strengthen the construction of relevant risk management supporting measures to optimize the risk management structure of the fund.Finally,after the occurrence of fund risks,we should strengthen the risk response measures and enhance the risk disposal capacity to prevent further contagion of fund risks.