中国资本市场系统性风险——基于个股的风险联动

The Systemic Risk of Chinese Stock Market:Based on the Risk-Comovement of Individual Stocks

从系统性关联视角出发,本文对我国资本市场上个股与市场整体之间的系统性关联风险水平进行了测算(ΔCo Va R),并运用动态潜在因子模型探究了个股系统性风险的联动特征。本文的主要结论如下:(1)同市场涨跌之间具有较强时序相关性的板块及个股,其ΔCo Va R序列具有明显的风险联动趋势;(2)随着样本中股票年龄的增加,个股的系统性风险从"争鸣"转变为"趋同",具体体现为风险联动趋势中市场总体性的联动不断增强,板块联动性以及个股特质因素不断减弱。相关结论为我国证券业监管者提升资本市场风险监管水平和管理者实现有效风险管理提供了经验证据和政策支持。

This paper calculates the systemic risk （ACoVaR） between individual stocks and the whole stock market from the point view of systemic link, and studies the pattern of comovement of individual stocks using the Dynamic Latent Factor Model. The major conclusions of this paper are as follows： （1） the ACoVaR series of the stock plates and individual stocks which have strong time-serial correlation with the rise and fall of the market have obvious risk-comovement tendency; （2） the pattern of the systemic risk of individual stocks is changing from ＂stylistic＂ to ＂mediocre＂ as the age of stocks increases. The detail is the comovement of aggregate market level is stronger and stronger while the comovement of stock plate and individual level is weaker and weaker. The relative conclusions of this paper provides the empirical evidence and policy suggestion for security inspectors to improve the skills of market risk regulating or risk managers to manage the market risk efficiently.