The Discussion Of Systemic Risk Of Chinese And Foreign Securities Market Based On Copula-CoVaR

US subprime mortgage crisis opened the 2008 financial crisis,the rapid spread to other countries,and ultimately the formation of a global financial crisis.Since then,the systematic risk of the securities market has gradually become the main topic of scholars,but also to build a stable financial system,the key issues.China's stock market is not as good as Western countries to carry out early and rapid development of the stock market,is still in the stage of continuous improvement.But as Asia's emerging financial markets,with the global economic and trade integration,other arbitrary financial fluctuations will have an impact.However,due to the large number of foreign stock markets,this paper chooses the United States,Britain,France,Germany,Japan and South Korea as the reference,by using Quantile Regression and model analysis,seven sets of data were analyzed.Empirical results show that,first,from the sample period(2006-2016),the overall analysis of the results shows that the national stock market has a certain degree of impact on the systemic risk of China's stock market.Because of the reasons of geography,trade and culture,the stock market of Asian countries has more influence on the systemic risk of Chinese stock market than that of Western market.Second,for financial time series,the choice of GARCH model can avoid the problems arising from Quantile regression.