我国股票市场系统性风险度量的实证分析  

An Empirical Analysis on Systemic Risk Measurement of China's Stock Market

作　　者：张雨 王资燕[1] ZHANG Yu;WANG Zi-yan(Guizhou University of Finance and Economics,Guiyang 550025 China)

机构地区：[1]贵州财经大学,贵州贵阳550025

出　　处：《科技创新与生产力》2021年第5期11-12,17,共3页Sci-tech Innovation and Productivity

基　　金：2019年贵州省高等学校教学内容和课程体系改革项目(2019081);2020年度贵州财经大学教学质量与教学改革项目(2020JGAYB01)。

摘　　要：本文选取沪深300指数代指股票市场,沪深300一级行业指数代指股票市场的组成部分,运用基于分位数回归的条件风险价值模型,通过度量我国股票市场系统性风险,指出行业自身风险大小不能决定其对市场整体的风险贡献,信息技术、原材料和电信业务为本文研究条件下我国股票市场系统重要性行业,为股票市场风险监管提供建议。This paper selects CSI 300 index to represent stock market and CSI 300 tier-one industry index to represent the components of stock market to measure the systemic risk of China's stock market by using a conditional value-at-risk model based on quantile regression.It points out that the risk of an industry cannot determine its contribution to the overall risk of the market,and information technology,raw materials and telecommunications business are the important industries in China's stock market under the research conditions of this paper,and provides some suggestions for stock market risk supervision.

关 键 词：股票市场系统性风险 风险度量 条件风险价值 

分 类 号：F831.5[经济管理—金融学]