| Under the background of the rapid development of China's capital market and the increasingly prominent market risk,the issue of excessive volatility risk of capital market and its impact on financial security is a very important research topic.We believe that capital market investor behavior,asset price behavior,price bubble,financial risk and financial security are important,interrelated and interactive research objects.This study focuses on describing the bounded rational decision-making behavior of investors at the micro level,causing excessive volatility risk in the stock market at the medium level,and the contagious effect of risk will affect the national financial security and even national security at the macro level.Finally,it puts forward corresponding policy recommendations to reflect the rapid development and growth of China's capital market.This study establishes a logical framework covering the individual behavior of micro-investors,the price behavior of medium-sized stock market,and the macro-financial security issues,which has certain theoretical research value.This study flly emphasizes the important role of capital market in China's national economy,and relevant research conclusions and countermeasures can also be used as a policy tool reserve for regulatory consideration.Therefore,it has important practical significance and application value.The basic conclusions of this paper are as follows:Firstly,capital market investor behavior,asset price behavior,price bubble,financial risk and financial security are important interrelated and interactive research objects.Guided by the systematic view and based on the detailed review of relevant research literature,this paper combs the factors affecting the stock price from three dimensions:fundamentals,technology and emotions,and divides the types of market participants into fundamentals,technology,emotional and passive investors.It sets up the behavioral logic of various investors and establishes a kind of investment-based model.The system dynamics model of stock price prediction stock price is set up by investors,and a simple stock market model of three heterogeneous investors price game is established to verify the conditions of the mild,expansive and explosive bubbles in the stock market.The factors affecting financial security are summarized from four levels,namely,economic security,banking and insurance industry security,capital market security and currency security,and the stock market bubble is considered.The expansion and rupture of foam have an impact on the security of capital market,and then on financial security.Secondly,the artificial stock market including fundamental investors,technical investors,emotional investors and passive investors is simulated.The stock price trend,return rate,investor position and account yield are analyzed.The results show that when the number of passive investors is small,or the number of fundamental investors is small,or the number of emotional investors is large,it is easy to occur.There is a stock market bubble.However,when emotional investors are too few,liquidity risk is likely to occur and stock prices collapse.The simulation of risk contagion shows that if the crisis is contagious,it is likely to induce systemic financial risks.When regulators intervene in a timely manner,they can reverse the process of contagion,eliminate financial risks in the bud,and maintain social and financial safety.Thirdly,Tobin's Q value method and bubble coefficient method are used to measure the extent of the stock price deviating from the basic value.The results are reasonable,especially the bubble coefficient method.However,the two indexes are too single and easy to omit important information.In the GSADF method,we have studied the bubble situation solely based on the fluctuation characteristics of the stock price,and successfully captured the larger bubble market in the 2006-2007 and 2014-2015 two periods of our stock market.A clear indication of bubble level and bubble time is given.The drawback of this method is that its recursive algorithm is insufficient for the bubble level of the stock market doubling in 2009,and it is high on the level of bubble level during the downward trend of the stock market in 2018.Therefore,it is biased.The extraction of the structural stock price bubble index shows that China's stock market has experienced four periods of serious bubbles,and the index shows that the bubble level of China's stock market is higher than 2006-2007 years in 2014-2015 years,which reveals the actual situation of 2014-2015 years' A bull market as a lever cow and a basic support.The empirical effect is better than other models.It is found that liquidity index is Grangerin of volatility index.The estimated parameters of VAR model in sample period show that the influence coefficient of liquidity index with lag of first order is positive and significant,while that with lag of second order is negative and significant.This provides empirical evidence for the necessity and urgency of market liquidity risk management.Forthly,On the basis of demonstration and measurement of stock market bubbles,we continue to evaluate the financial security situation in China.We choose 11 initial indicators such as GDP growth rate from four dimensions,namely,economic system security,banking and insurance industry security,capital market security and currency security,and extract 5 principal components from principal component analysis method,and compile China's financial security index.The results show that during the sample period,China's financial security index has undergone five unanimous fluctuations.Each stage of the financial security index has the main economic indicators to promote,and also has a profound economic background.Further,the stock market bubble index represents the bubble level,and the financial security index represents China's financial security level,and the Markov zone is established.The transformation model(MSIH(3)-VAR(3))examines the dynamic relationship between the two.The results show that the relevant parameters of the model are significant and have obvious economic significance:the stock market bubble level is China's financial security level Glenn Jain,the stock market bubble index is a leading indicator of financial security index,first brings the rise of the security index,and then the 2 order lag will lead to the decline of the security index.The results of impulse response function also confirm this conclusion.Generally speaking,China's financial security state has a higher probability of staying in Zone 2(mild insecurity)and Zone 3(security).The duration of Zone 1(serious insecurity)is only about half that of the other zones,indicating that the overall financial security level is still controllable.Fifthly,in order to optimize market supervision and prevent and resolve the risks that may lead to financial insecurity,we put forward some countermeasures and suggestions,such as insisting on the guidance of the system view,promoting scientific and effective market supervision,constantly improving the legal infrastructure,and building a long-term development mechanism of the stock market.To sum up,the innovation of this paper is mainly about the micro mechanism of the financial security problem caused by the capital market.A new dynamic model of stock price fluctuation is constructed.The results of the simulation of stock price bubbles and risk contagion are logical.The empirical conclusion is that the stock price bubbles affect the financial security. |
PDF Full Text Request