A Study On Systematic Risk Of Cross-trading Between Stock Market And Stock Index Futures Market In China

In recent years,China's financial system has developed considerably,especially the stock market and stock index futures market.According to the industry report of China's Securities Association,however,cross-trading between these two markets is facing a huge risk,of which the most important is the systematic risk.This paper theoretically and empirically analyzes the generation and propagation mechanism of systematic risk in cross-trading between stock market and stock index futures market in China,and builds up risk warning indicator system of systematic risk in cross-trading between these two market,aiming at better understanding and enhancing control of the risk,as well as promoting the healthy development of the China's capital market.Firstly,basing on the review of relevant literature and analysis of the systematic risk of cross-trading between the stock market and the stock index futures market in China,this paper uses factor analysis and clustering analysis to elaborate and classify the main factors,which affect the systematic risk of cross-trading between the two markets,into three categories:first,affecting factors of the rules governing the securities trading system,including market expansion,stamp,structure of listed companies,information disclosure;second,stock systematic factors and stock index futures system factors,including operating cycle of stock trading system,institutional investors,investor scale;third,external environmental factors,including macroeconomic cycle,QFII system,GDP,interest rates,exchange rates,inflation and monetary policy.Secondly,in this paper,the structural equation model,joint probabilistic model and Copula model are used to theoretically and empirically analyze single factor action mechanism,common shocks mechanism,risk contagion mechanism,produced by the systematic risk of cross-trading between the two markets.Research indicates:(1)The single factor mechanism of systemic risk of cross-trading between the stock market and stock index futures market in China,such as the securities trading system factor,the stock system factor,the stock index futures factor and external factors,separately lead to the formation of the systematic risk of cross-trading between the two markets.Furthermore,the stock system factor and the stock index futures factor separately lead to the same result through the securities trading system factor.(2)The six characteristics of stock and index futures system,combined with other external factors draw three common shocks mechanism which cause economic cycle of macroeconomic,credit expansion,shock of asset price volatility,loosing monetary policy and government spending fiscal policy lead to the formation of the systematic risk of cross-trading between the two markets.(3)The contagion mechanism of systemic risk:considering the trade between these two markets,if systematic risk happens in either of these two markets,it will result in mutual contagion mechanism.Thirdly,on the basis of analyzing the causes of systematic risk of cross-trading between stock market and stock index futures market,this paper uses not only analytic hierarchy process to build risk warning indicator system,but also data envelopment analysis to analyze its warning efficiency which is above 0.9 using empirical data from 2001 to 2014.It proves that this indicator system effective and useful.Finally,according to the conclusions of the above analysis,policy recommendations,such as improving the RMB exchange rate formation mechanism,improving the regulatory system,establishing the cross-trading financial risk monitoring and early warning system,implementing the stock short system,strengthening education and guidance for investors,constantly preventing irregular cross-trading behavior etc.,are put forward to prevent systematic risk of cross-trading between these two markets in China from the macro,meso and micro aspects.With the continuous development of the market economy and the deepening of financial reform,China's stock market and stock index futures market are changing rapidly.The complexity of the factors affecting the cross-trading between the two markets,as well as the market system,will also change.Therefore,the affecting factors and the established risk warning system indicators need to be further studied.