Reserch On The Systematic Risk's Measurement Of Financial Market From Perspective Of Cojumps

With the development of global economic and financial integration,more and more scholars pay attention to risk measurement and risk management,and focus on effectively preventing the financial crisis.As we all known,US's Sub-prime Crisis in 2008 triggered the global financial crisis,European Sovereign Debt Crisis led to market turmoil and China's stock market crash in 2015 resulted in the ups and downs of the capital market.Thus,the contagion effects have become the essential characteristics in the financial market.At present,the global financial system has suffered from the British referendum,the US presidential election and other black swan events,so a large number of risks in the system continue to accumulate.When a unexpected macroeconomic news is announced,the financial institutions'asset prices will jump,and then through the overflow effect,the risks spread to the entire financial market,ultimately,they lead to financial system turbulence and recession.In order to measure the systemic risks in China's financial market,this paper proposes a new perspective,that is,the cojumps between different financial institutions.This paper explores three aspects:the jump characteristics of financial institutions and financial index,the cojump characteristics of financial institutions and financial index,and the relationship between macroeconomic news announcements and cojump so that we can measure the systematic risks.First of all,this paper chooses a five-minute sampling of the Industrial and Commercial Bank of China,CITIC Bank,Nanjing Bank and CSI 800 financial index over an half-of-three-year period from Aug 6,2013 to Jan 26,2017.And then this paper applies the intraday jump detection procedures to analyze the characteristics of jumps and co-jumps.Secondly,we aim to use the HAR-RCov-JCov and HAR-RV-JCov models to test the effect of cojump on the forecasts of volatility such as RCov and RV.Finally,this paper chooses the Relogit regression model to study the effect of macroeconomic news announcements impact on the cojumps in the Chinese market.The main conclusions are as follows.(1)There is obvious fluctuation agglomeration and time-varying characteristics of financial institutions and financial index.(2)There are frequent jumps in financial institutions and financial index,and the trend of them is similar,indicating that the banking industry plays an important role in Chinese financial market.(3)The cojumps from joint-stock commercial banks and urban commercial banks are higher than those of large state-owned commercial banks,indicating that the former impacts more on financial market volatility.(4)The cojumps between financial institutions and financial index significantly improve RCov and RV forecasts.(5)Macroeconomic news announcements can impact cojumps,indicating that unexpected news releasing will lead to systemic risk.(6)CPI,GDP,NL(New Loans)significantly influences cojumps,so we should pay more attention to them and focus on the risk management and risk prevention in time.