中国股票市场系统性风险动态研究

Dynamic Analysis on the Systematic Risk of China's Stock Market

采用滚动窗口式的主成分分析法对中国股票市场的系统性风险进行衡量,并对中国股票市场的涨跌特点进行分析。结果表明,中国股票市场的系统性风险在近15年中具有显著的时变特征。总体来说,系统性风险呈现逐步下降的趋势。进一步的分析表明,系统性风险与股票指数存在显著的负相关。当股市处于上涨期时,股票市场系统性风险下跌;当股市处于下跌期时,股票市场系统性风险上涨。制造业对股票市场系统性风险贡献较大,金融业则贡献较小。

The paper evaluates the systemic risk of China＇ s stock market by using principal component analysis, and analyzes the characteristics of the fluctuation of the stock market. The re- sults show that in the recent fifteen years, the systemic risk in China＇ s stock market has signifi- cant time vary characteristics. Generally speaking, the systemic risk tends to decrease. Further re- search demonstrates that systemic risk has significant negative correlations with stock index. The systemic risk decreases while the stock index increases, and vice versa. Manufacturing industry has the greatest contribution to systemic risk, and the financial sector contributes the least.