Empirical Research On The Market Risk Of STAR Market In China

At the first China International Import Expo on the morning of November 5,2018,General Secretary Xi Jinping proposed for the first time that China will set up STAR Market and pilot registration system at the Shanghai Stock Exchange.Since the trial,the number of listed companies has increased to more than 110,with a total market value of more than 1.9 trillion yuan,and STAR Market is booming.Being at the forefront of capital market reform,STAR Market boldly adopted new market access system,new valuation standards and new fluctuation limits.These innovative institutional arrangements not only release market vitality,but also bring greater market risks to the board compared with other boards.In this paper,relevant financial statistics are adopted to analyze the volatility characteristics of STAR Market,measure its overall market risk,and compare its market risk index with the main board market and China Growth Enterprise Market to analyze the similarities and differences of the market risk characteristics of STAR Market and other boards.Reference Gem composite index's method,this paper select all 115 stocks currently listed in STAR Market as index mark,STAR Market index are developed by the software,then use based on three different distribution of four kinds of GARCH model to fit STAR Market index yield sequence,and the model fitting quality comparison,finally obtained the optimal fitting model and the characteristics of STAR Market index volatility.After further calculation,the VaR value series of the index of STAR Market was finally obtained,and the Kupiec failure frequency test method was used to backtest the results,and the overall market risk of STAR Market was successfully measured.For studying STAR Market compared with main board and China Growth Enterprise Market on market risk characteristics,as well as the similarities and differences of the csi 300 index and Gem composite index composite GARCH model fitting and the VaR value calculation,comparison yields basic statistical characteristics of three kinds of index,GARCH model fitting coefficient and VaR value,analyze these volatility characteristics and relative size of market risk.The data in this paper are from TDXC software,and TDXC software is used to calculate the index of STAR Market.Eviews 10 was used for modeling,and Excel and Python languages were used for VaR value calculation and verification.Finally,on the basis of the empirical conclusion,this paper puts forward some policy Suggestions to provide theoretical reference for the market risk control work of STAR Market.