The Measurement Of Systemic Risk In Chinese And American Stock Market Based On Investment Horizon

At present,With the global financial system gradually integrated development,the frequency of the financial crisis has increased so much.Prevalently systemic risk exist in the financial system,with fast and influential feature.Therefore,the measurement of systemic risk is an important work with both theoretical and practical value.However,systematic risk measurement is affected by many complex factors,such as investment period,asset structure and market friction,So far,it is still a difficult problem that has been deeply thought and studied in the field of financial economics.CAPM model is the earliest used to measure systemic risk model,with the academic community questioned the CAPM model,so far,it has developed into the F.F three-factor model.This paper relaxes F.F’s hypothetical condition of deterministic investment term of three-factor model,and adds investment horizon as the basic model of this paper to measure systematic risk based on F.F three-factor model,in which The investment horizon is defined as the ratio between the real investment term and the default investment term.This paper selects the monthly closing prices of listed companies in the stock market as the basic research data.First,the time period of the data is divided,Select the monthly closing price of the stocks of listed companies from January 2001 to December 2016 and choose the time node as December 2008.Second,the country is divided.Finally,the industry is divided,According to GICS data is divided into six industries:industry,utilities,daily industry,non-daily industry,medical industry,information technology industry.Taking into account the dynamic correlation between financial variables,we use unrelated regression to verify the applicability of the three-factor model F.F after China’s investment in China’s stock market before and after the financial crisis and the U.S.stock market,The regression analysis of China and the U.S stock market shows that the three-factor model of F.F is universally applicable in both markets.Finally,using Copula Bayesian estimation method to draw the investment scale and the relationship between systemic risk.By comparing the results,we found,First,compared with the pre-financial crisis,systemic risk has dropped significantly after the financial crisis,and the scope of systemic risk has been significantly reduced.Second,there is a clear difference in the scope of the systemic risks and their fluctuations after the financial crisis.Third,the impact of the investment horizon before and after the financial crisis on systemic risk is obviously different.Fourthly,after the financial crisis,the relationship between investment horizon and systemic risk in China and the United States is different.