The Research On Industry Risk Spillover Effects Of Systemic Risk In China Stock Market

The financial crisis of 2008 has brought the huge impact on the United States and the global financial system. The huge financial crisis which is due to the risk of the real estate industry, after the industry risk spillover to the entire market, has caused great negative effects on the operation of the entire economic system. When the shadow of the subprime mortgage crisis has not been fully dispersed, the 2010 European sovereign debt crisis broke out, causing a strong stock market volatility. The crisis once again spread to the world. In the face of such a situation, most of the scholars begin to research on the risk of large institutions influence on systemic risk. While the number of the researches that focusing on the industry risk spillover effects on systemic risks is few.Under this background, this paper studied data from 2006-2015 decade on Chinese stock market, the data interval including the financial crisis of 2008 and the the debt crisis in Europe of 2010. This paper uses the CoVaR model to empirical analysis to demonstrate the impacts on industry risks on the stock market systemic risk and the measure of the marginal contribution to the systemic risk of the whole system. For macro regulation, given the industry stock to measure the contribution of systemic risk, the marginal contribution of big industry should adopt more strict supervision, the relevant authorities should establish a more perfect regulatory system, to prevent the occurrence of systemic financial crisis. has important theoretical and realistic significance. For micro investors, by observing the changes of the industry marginal risk contribution, can make forecasts on the industry investment risk and the occurrence of financial crisis.CoVaR model used in this paper is the main body of the article, but also the highlight of this article. It evolved from the traditional VaR method and can measure in special conditions, namely an industry under conditions of extreme loss, facing the whole financial market risks, called conditional value at risk. This paper, by using the model to measure the risk of ten industries in the stock market in China under the condition of the conditional value at risk of the stock market, then draws ten industries spillover effects to the stock market risk, identifies the systemically important industries, by measuring ten industries marginal contribution to systemic risk to get every industry contribution of risk to the risk of the whole system.The results of this study suggest that, when the ten industry of our country stock market are respectively in the risk state, will lead to changes in risk of stock market system in China to a certain extent, the impact of various industries on the risk of stock market system in China will change over time, the marginal risk contribution of the industry value has a obvious improvement before the time of finance crisis.The marginal risk contribution to the industry is △CoVaR, a more perfect interpretation of the volatility of the China stock market in the financial crisis in 2008 and the debt crisis in 2010. Investors can deepen the control of the systematic risk through the practical application of delta△CoVaR industry index, from macro to micro prudential perspective.