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A Positive Research on Early-warning System of China Stock Market Based on Price-earnings Ratio and Price to Book Ratio

Author: YeSheng
Tutor: ChenRongDa
School: Zhejiang University of Finance
Course: Finance
Keywords: VaR Dynamic correlation coefficient CHNX HSCEI
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 65
Quote: 0
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Abstract


Global stock markets are all fluctuant, but compared to more mature market such as US and Britain, the Chinese market fluctuations often exhibit a greater frequency and higher volatility characteristics. Such high fluctuations may take a series of adverse effects to our county’s economy. After China entry into the WTO, the relationship between Chinese market and the global securities markets will getting more closer and the phenomenon that our market affected by external market will becoming more obvious. So it is very important to find a good stock market risk warning methods that fitted national condition of China On the background of global economic integration. The purpose of this article is to find the Chinese stock market risk measurement and early warning methods on the background of global economic integration. At first, this paper analysis the special reason of China’s stock market fluctuations, and consider that the Chinese market risk warning methods should be based on the analysis of china’s actual situation. Then author use VaR indicators, PE and PB indicators to establish early warning model. Combining with dynamic correlation coefficient, new Investor number, money supply, popular enthusiasm on the market and volume indicator, author make a synthetical analysis to the Shanghai index’s downside risk. Finally, the article tries to make some suggestions about how to to maintain the steady development of stock market and reduce excessive fluctuation.The primary early-warning model is the one that we use P/E and P/B to set warning intervals and use VaR to set alarm points. Through the research the paper find that the model consisting of VaR, P/E and P/B can alert short-term downside risk of stock index. In the long term this model can really make a alert for the sharp drop of indices, and alarm level increases along with he increase of index, but The inertia of indices should be taken into account to the judgment of the risk of indices as well. Through the research of Dynamic correlation coefficient between China’s stock market and foreign market we found that correlation coefficients among Shanghai composite index, Hangseng China enterprises index and NASDAQ China Index are relatively high, and can be used as a reference of index risk forewarning. With the integration of China and the international society, the capital accelerates to flow. The interaction of different indices will become a significant reference of the risk forewarning. In addition, through the research of the money supply, investor number and popular enthusiasm on the market, the paper finds that investor number and popular enthusiasm on the market are leading indicators of the index, and will peak before the index does. The relationship between money supply and the index is mainly reflected on the relationship between the change of money supply structure and that of the index.

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