Analysis Of Systemic Risk Of The Stock Market Based On The Stock Correlation Network

With the tendency of global economy and finance’s integration strengthening,the borders between financial markets in various countries and regions are gradually blurred.At the same time,the transmission of risk is more and more obvious,and many people began to pay attention to the importance of systemic risk.They gradually realized that,the systemic risk is different from general individual risk because this type of risk has the characteristics of destructive,latent and infectious.It will constantly spreading,causing international financial crisis and seriously affecting world economic growth and stability.As an important part of the global financial system,the systemic risk of China’s stock market should not be overlooked.As an emerging market,the completeness degree of mechanism,ripeness of investors are not as well as the developed countries,and the anti-risk ability is weak.In order to prevent and control the stock market systemic risk,we should have some insight into the systemic risk.As a new method of effective research on the complex relationship in reality,using complex network may be a better choice to do some research on stock market.Therefore,we use complex network approach to explain the systemic risk,from the perspective of the relevance of China’s stock market systemic risk of the operating mechanism,the overall characteristics of individual stocks to contribute to the risk.Firstly,the background and significance of the systematic risk are introduced.Based on the analysis of the existing research literature,the relationship between the internal topology and the systemic risk of the stock system is selected from the related network.Then,the systematic risk management mechanism,the complex network on the relevance of the stock research on the applicability of theoretical analysis,and further analysis of the associated network in the systemic risk of nature.The third part is overall analysis,using Shanghai and Shenzhen A shares to build the stock market price correlation network and risk network,and show the overall system of China’s stock market risk evolution.In the end,using individual stocks as nodes and building the network based on the CSI 300 Index,and then measure the contribution of stocks to systemic risk through CoVaR method.The conclusion is:If a stock is nearer to the core of the stock price network or the trading volume network than others,it will be more possible to contribute more to systemic risk.It shows that,in the stock market,those companies is more likely to transfer risk,and contribute more to systemic risk of market.So,we must pay more attention to the companies which have wide correlation and strongly influence in the market.