我国证券投资基金系统风险的一个度量指数

A Measurement Index of Systematic Risk of Securities of Investment Fund in China

本文采用中国的基金投资类型指数数据,基于马尔科夫区制转移模型,构建了我国投资基金的动态系统风险度量指标,以识别基金机构投资者的系统风险状况和标志性事件对我国基金机构投资者的影响。结果表明投资基金系统风险的度量指数FSRI能够较为准确地识别出2007年至2018年间我国投资基金市场的系统风险状况;资本市场与货币市场的系统风险状况基本呈现出此消彼长的反向关系,体现了该指标在测度我国基金行业系统金融风险水平上的可靠性与有效性。研究结论对我国证券市场防范基金投资行业市场风险、监管部门控制系统风险具有重要现实意义。

In this paper,based on the data of China’s fund investment type index and markov regime-switching model,the dynamic systematic risk measurement index of China’s investment funds is established to identify the systematic risk status of fund institutional investors and the impact of landmark events on China’s fund institutional investors.The results show that the index FSRI can accurately identify the systemic risk of China’s investment fund market from 2007 to 2018.The systematic risk status of the capital market and the money market shows a reverse relationship,which reflects the reliability and effectiveness of this index in measuring the systematic financial risk level of China’s fund industry.The research conclusion is of great practical significance for China’s securities market to prevent market risks of fund investment industry and regulatory authorities to control system risks.