China's stock market risk warning and Empirical Research
|School||Chongqing Technology and Business University|
|Keywords||stock market risk risk identification risk early-warning Logistic model|
In recent twenty years, globalization of financial markets is becoming more and more clear as well as the risk of financial market is increasing. Particularly, the rapid expansion of financial derivatives and the development of asset securitization have changed global financial markets fundamentally. But the risk of the market becomes the most important risk which is confronted with financial institutions and investors. In our country’s market risk, the stock market is the most typical, which is a high income and a high-risk market, but it is also an emerging, rapidly developing and less mature market. Correspondingly, the risk of the stock market is becoming more prominent. Therefore, monitoring the risk of the stock market, establishing the mechanism of risk warning, strengthening the risk warning and effective control is extremely necessary.The stock market is so constantly changing that it is difficult to predict the real specific time of crisis. The only way to warn managers and investors is to measure the possibility of the crisis by monitoring and warning the risk of the stock market. In order to maintain the health and coordinated development of our stock market, it is necessary to establish a set of the stock market risk warning mechanism by which to regularly monitor track and predictive analysis the risk of stock market, as well as early warning us in time to take effective measures in the horizon of the crisis.Based on the above considerations, the paper falls into six chapters which follow.Chapter one make a detailed exposition for the background and meaning of the early warning of the risk and a comprehensive review on the relevant documents of early warning at home and abroad. And it is necessary to study the early-warning of the risk of the stock market by classical econometric model.Chapter two extends from the general definition of risk to the stock market risk, and summarizes the appropriate method in combination with the situation and characteristics of China’s stock market by comparing various methods of risk identification. What is more, it explores the causes and mechanism of the formation of risk in China’s stock market.Chapter three cities the classical Logistic model to study China’s stock market by comparative analysis of the methods of economical early warning.Chapter four selects the average price-earning ratio of the stock market, the year growth rate of broad money, the change rate of market volume, the change rate of market turnover and price as early-warning indicators to measure the risk of China’s stock market and establish a complete system of early warning indicators.Based on collecting and cataloguing the relevant indicators data, Chapter five analyzes empirically the risk of our stock market and verifies the effectiveness of early warning model.Chapter six points out the conclusions of this study and the further research which is needed in the future.