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Empirical analysis of the risk of China 's securities market after the introduction of QF Ⅱ

Author: DengLi
Tutor: WuXianJin
School: Hunan University
Course: International trade
Keywords: QFII Securities Market Risk Risk measurement Split share structure reform
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 65
Quote: 0
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Abstract


With the development of economic globalization and China 's market economy , China's stock market and international securities markets gradually increase the degree of association and mutual effects are more pronounced . Developing QFII system in China , international capital to enter China's capital market , so that China's capital market has become an important part of the international capital markets through a specific pathway for a capital project , which did not fully liberalize the domestic stock market is still not perfect countries to achieve an orderly and secure transitional arrangements to open securities market purposes . However, the with the QFII entry , China's securities market will be faced with the impact of international hot money , the risk of financial regulation , therefore , with the gradual opening up of China's securities market , QFII range further relaxation , landing in China has six years of QFII on China 's securities market impact how , especially on the level of China's securities market risk , more people are concerned about . This article from the securities market risk start using the time series in quantitative methods , the use of the dynamic computing model of CVaR - EGARCH-GED model analysis of the risk characteristics before and after the introduction of QFII China's securities market , taking into account of China's split share structure reform significant impact of the policy on the securities market risk , turn our split share structure reform began full implementation of a cut-off point , the empirical analysis of changes in the level of risk of the securities market after the introduction of QFII on China , in view of the introduction of the QFII on China's securities market is international the impact of the the NYSE market risk and China's securities market comparisons and causal analysis obtained Conclusion: China's securities market introduction of QFII risk level than before elevated risk of volatility enhancement , and this trend points in our equity set full implementation of reform policies more significant . Especially at the same time the cause and effect of the changes of the global financial crisis, a sustained period of time with the NYSE market risk analysis concluded that : China 's QFII securities market changes of the level of risk factors not directly from abroad . Finally , the conclusions are supplemented by qualitative analysis , at the same time make appropriate policy recommendations .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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