宏观压力背景下股票市场风险的稳定性研究

Macro Stress-testing of Stability and Risk for Stock Market in China

压力测试方法是考察市场潜在风险和进行风险管理的重要方法,也可以用来研究宏观经济市场的稳定性问题。相容风险测度CVaR作为风险计量方法在经济逻辑和数理逻辑上具有一定的合理性,实验结果表明,同时利用混合分布来模拟股票收益的厚尾性质,可以比较恰当地刻画市场风险特征。在对我国股票市场投资风险进行稳定性研究时,同样使用混合正态分布作为压力测试背景,通过股票市场风险对股价涨跌变量、市场不确定性变量和市场间协同变量的变化敏感程度的实证分析表明,我国股票市场对宏观经济环境的变化反应比较迟钝,股市价格的运行方式主要受市场内部投机因素的影响较大。

Stress testing is always used to research latent market risk and risk management and can also be used to test the stability of macroeconomic market. Coherent risk measure CVaR have better economical and mathematical logical base . A stress testing method is provided to calculate CVaR and is used to appraise stability of Chinese stock market. In empirical study , portfolio＇s return is supposed to be a mixture normal distribution and moment calibration method is used to estimate the parameters. The empirical study show that the method performances well. When appraising risk stability of stock market, mixture normal distribution is also used as stress testing scenarios. Empirical studies research the stock risk sensibility to price change, market uncertainty and co-movement among market prices and find that stock market which is mainly influenced by speculation isn＇t sensible to macroeconomic conditions.