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Analysis on Risk Diffusion Mechanism and Its Effect Factors of China’s Stock Market

Author: ZhaoNa
Tutor: LiLaSheng
School: Tianjin University of Finance and Economics
Course: Statistics
Keywords: Stock market Risk diffusion route Influence factor Susceptible and Infective model Logistic model Panel data model
CLC: F832.5
Type: Master's thesis
Year: 2006
Downloads: 292
Quote: 1
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Abstract


Risk is the innate characteristic of stock market, but diffusion is the natural attribute of risk.The appropriate risk can help to improve the flowability of the market, increase activenessdegree of the market, but the risk brought by stock market fluctuation especially slumps notmerely bring the enormous economic losses to investors, but also can endanger other financialfield further, even initiate the malignant economic crisis. So, study stock market diffusionmechanism and factors that influence the diffusion of risk has important realistic meanings forensuring investor’s interests, safeguarding the finance safely and guaranteeing economy’ssecurity.Though there were plenty of the research achievement focus on the fluctuation of stockmarket recently, most research concentrates on estimating and taking precaution of the risk, fewpeople make a study of how the risk diffuse and what is the inherent influence mechanism of risk,this paper try to solve the problem. Because risk have characteristic of diffusion, so firstly ,weintroduce Susceptible and Infective model of medical science to look for diffusion law of risk instock market , then according to the features of the issue we use binary logistic model and paneldata model to analyze factors which influence risk diffusion .The basic prerequisite herein is: we have set up the relationship between risk size and thevoluntary buy or sold investor proportion, if there were large proportion of investor whovoluntary to buy stock, it means the stock market contains little risk, on the contrary the risk isenormous, beside this we acquiesce that the market risk can be transmitted by imitation behaviorbetween investors.On this basis, we use Susceptible and Infective model to analyses the diffusion mechanismwhen the risk is gathering and releasing, the research result show that: though the risk diffusionlaw of stock market in china is not fit to the SI model, the herd behavior effect actually exist instock fluctuation, imitation behavior do accelerate the speed of risk gathering and releasing, andwe also conclude that investor proportion can be use as leading indicator to judge quotations onthe market.environment can not satisfy the strict math expression ,on the other hand show there maybe othermore important factors which influence the diffusion process. Subsequently, we use binarylogistic model and Panel data model respectively to set up the quantitative relationship betweeninvestor proportion and basic market elements, find that different market manifestation indexeshave stronger ability to explain risk variation when market fluctuates up and down.

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