The Analysis And Empirical Research Of The Systematic Risk Based On CAPM Model

In this paper,I mainly analysis the systematic risk inCAPM model with qualitative and quantitative method.,and discuss how to impact the systematic risk when we increase the investment projects to hedge the Non-systemic risk,also improve some measurement mode, so that we can much more easily understand and calculate.At last,I empirical study the systematic risk in china stock market.This paper includes four parts in total.The first section mainly introduces the basic knowledge of CAPM model,including 8 kinds assumptions in this model,risk factorβ,three kinds methods to estimate theβ,the systematic risk inCAPM model,and the Ito Lemma.The second section mainly analysis feature of the systematic risk,and obtains three theorems,then introduces the model to metric the systematic risk,which was made more improvement based on some results,at last we describe how to use the Stock Index Futures to hedge the systematic risk.The two were explained by some examples.The third section is the empirical Study,first introduces the performance and evaluation of systemic risk in China's stock market,then improves the evaluation model, and uses this model to appraise the systemic risk in China's stock market,and compares with the Europe and the United States countries.The last section illustrates the relation between the Financial Derivatives and the systemic risk,and obtain a important conclusion:using the Financial Derivatives can reduce the systemic risk.