Research On Systemic Risk Among Industries In China's Securities Marke

The Report to the 20 th National Congress of the Communist Party of China pointed out that preventing and defusing financial risks concerns national security,development and the safety of people’s property,and we must firmly guard against systemic financial risks.China’s capital market is developing to multiple levels,the innovation of financial instruments strengthens the connection between the industries of the real economy,and the liberalization cooperation makes the connection between different industries closer.When a certain institution or industry in the securities market is affected and the risk appears,the risk will be transmitted to the related institution or industry along with this connection,and then to the whole securities market,causing losses.In the face of the increasingly complex economic structure and market environment,studying the correlation between industries in the market and analyzing the risk spillover and transmission direction between industries is conducive to preventing risks and ensuring the healthy and stable operation of the securities market.In this thesis,the daily closing price sequence of 31 first-level industry indexes in Shenwan industry classification Standard is selected as the research object,the GARCHCopula-Co Va R model is used to calculate the risk value of each industry in the securities market,and on this basis,the risk spillover intensity and threshold method is used to build the complex network of industrial risk spillover.Study the position and importance of each industry in the risk spillover network,and further analyze the risk spillover among industries through the network structure characteristics.Secondly,the three major emergency risk events within the sample period are taken as the entry point to study the inter-industry risk spillover effect under the three major emergencies,as well as the comparative analysis of the risk network of the three major emergencies.The research draws the following conclusions: Firstly,during the sample period of the study,the key industries in the securities market are not only the financial industry,but also the traditional real economy industries such as basic chemical industry,textile and apparel industry and food and beverage industry.Secondly,in the event of major emergencies,inter-industry risk spillover level and inter-industry connection will be significantly strengthened.The three major emergencies’ impact on inter-industry risk rank as the stock market crash in 2015,China-Us trade friction in 2018 and the novel coronavirus epidemic in 2020.Thirdly,the direction of risk contagion is mainly from the upstream industry to the middle and downstream industry,and from the real economy industry to the non-real economy industry,such as the basic chemical industry,non-ferrous metal industry,textile and apparel industry,banking industry,non-banking financial industry and computer industry.According to the research conclusions,the following suggestions are put forward:Firstly,we should face squarely the position and role of the financial industry in the securities market,and study the interaction between the financial industry and the real economy industry from a global perspective;Second,the risk prevention policy should be forward-looking,in the face of major emergencies impact can correctly judge the impact type,and take countermeasures;Third,we should attach importance to the role of the real economy industry in the risk transmission network and its impact on systemic risks,and always pay attention to the upstream and downstream links between the real economy industries.