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A Study on Systematic Risk of Listed Banks

Author: ZhouBai
Tutor: YeLi
School: Hebei University of Technology
Course: International Trade
Keywords: listed bank systematic risk βcoefficient
CLC: F832.2
Type: Master's thesis
Year: 2008
Downloads: 224
Quote: 1
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Abstract


China has been completely fulfilling her promise to open domestic market for foreign banking industry after December, 2006, which indicated 5-year interim ended from that time. China’s financial market entered a new opening period. While China’s financial reform develops further,the systematic risk of our bank system is getting higher. By the end of 2007, accounting to the statistics, 14 commercial banks have been listed on the stock market successfully in the mainland market or Hongkong or both. They are Shenzhen Development Bank, Shanghai Pudong Development Bank, Minsheng Bank, Merchants Bank, Xingye Bank, Huaxia Bank, Bank of China, Commercial Bank of China, CITIC Industrial Bank, Bank of Communications, Nanjin Bank, Beijing Bank, and Construction Bank. The total asset of these listed banks has been to 29,800 billion in 2007, account for 56.65% of the assets of the banking sector. The listed banks have a large influency on the banking system of China. Therefore the study on the systematic risk of listed banks has an important meaning.This paper based on all kinds of theories of bank systematic risk, analyses the situation of listed banks in China and the performance of systematic risk existed in the listed banks. Then it compares with two the measure model ofβcoefficient-market model and SML model, the conclusion is the market model is more suitable to measure theβcoefficient of systematic risk of listed banks in China, and analyses the factors that influence theβcoefficient. Based on the Market Model, taking the Merchants Bank, Minshen Bank, Shanghai Pudong Development Bank and Huaxia Bank as the sample bank, it has the empirical study on theβcoefficient of listed banks from 2005 to 2007. It makes a conclusion that the systematic risk of listed banks has been increasing. At the end, this paper provides some suggestions to precause the systematic risk of listed banks.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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