China’s Securities Market Portfolio Analysis And Empirical Research

With the rapid development of world economic integration and financial markets, asan important part of the world’s economies, China’s securities market has passed itsglorious and arduous journey, but along with the innovation of financial tools, thedevelopment of asset securitization, the abuse of leverage, our country securities marketalso is affected by various risks, combined with China’s unique history and system, whichmaked Chinese stock market investors cannot catch the subtle changes of the returns andrisks. In more than20years in the development of securities market in China,we arefruitful and abuses, coupled with the government’s strong influence, makes our countrystock market present yield sequence of fractal distribution characteristics of non-normal,meanwhile, the shorting mechanism as well as measuring characteristics of systemic riskis too big also makes more investors at a loss. In1952,the puting forward of Markowitzmean-variance portfolio investment theory lead the way of thinking toward the road ofquantitative. Shortly,the expansion of the CAPM and APT theory also laid a solidfoundation for future portfolio theory.Later, Financial experts found that the mathematicsand measurement of copulas connect function and GARCH model references to previoustheories will make the research of portfolio investment full of more practical significance.In1993, J.P.M outraged measure portfolio risk VaR model is put forward,which ismeasuread for portfolio risk, the later scholars and model of the past in accordance withthe actual situation of the securities market modification and supplement, so new a seriessuch as: copulas-VaR and GARCH-VaR portfolio theory arises at the historic moment,while China’s securities market also creatively apply them to their own. On the one hand,based on complex mathematical derivation, on the other hand, based on the conditions ofthe stock market, In this case, The emergence of VaR risk portfolio model can leadChina’s securities market portfolio theory is worth studying.In this paper, based on the special history and characteristics of China’s securitiesmarket, based on the analysis of the stock market after the various characteristics of measurement in our country,we introduced a variety of portfolio theory or model, thenwe combined special point in China securities marke with them,forming the theory whichis applicable to Chinese stock market, at the same time is analyzed by them, find out themost suitable models in China securities market,the VaR risk portfolio model. Finally tomodify the model and empirical research, come to the conclusion that our countrysecurities market the application of portfolio theory.