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The Research on the Risk Measurement Index System of A-share Market

Author: YueYunFei
Tutor: ZhaoZuo
School: Ocean University of China
Course: Quantitative Economics
Keywords: A-share market Risk metrics Exponential rate of divergence Reasonable point
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 41
Quote: 0
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Abstract


Since the establishment of the Shanghai Stock Exchange was established in December 1990 and January 1991, the Shenzhen Stock Exchange, China's A-share market is a huge change in nearly two decades, the financing of listed companies, driving GDP growth has played an important role. But we should also see that as an emerging stock market, China's A-share market, there are a lot of problems and defects, high risk has become a prominent feature of the China's A-share market. Causing many investors due to lack of understanding of the risk level of the A-share market, tend to be a lot of investment losses, and shaken their confidence in investing in the A-share market, which will have long-term and stable development of China's A-share market have a huge negative impact on . Therefore, timely, accurate given the level of risk faced by the A share market places, to provide investors with investment advice, is of great significance. In view of the above reasons, we choose to study the A-share market risk measure, on the one hand, try the A-share investors are facing short-term and long-term risk level metrics, providing investment advice; expectations on the other hand for the A-share market managers to effectively control the market risks, and safeguard the healthy development of the A-share market metrics and management ideas. Foreign main risk from research and evaluation metrics to build the A-share market risk metrics system, and then combined with the characteristics of China's A-share market risk, validate the build superiority of the index system Finally, from an empirical point of view. The first chapter in the research at home and abroad on the basis of the general concept of risk, the nature of the attributes and characteristics of combing, combined with the A-share market situation gives the definition and characteristics of the A-share market risk, the theoretical basis for the below; Chapter II study of existing risk metrics to evaluate the advantages and disadvantages for inspired ideas and improvement direction below; Chapter two sections, the first text on the definition and characteristics of the A-share market risk defined , as well as on the basis of a review of existing risk metrics, proposed the holding period, the carrying amount of effective loss frequency and A-share index deviation rate concept, and their impact on the A-share market risk is theoretically proved, construct A share market risk metrics system to measure the A-share market, the risk of long-term and short-term perspectives, the main part of this study; fourth chapter, from the empirical analysis point of view, the use of statistical and econometric methods, comparing A shares market risk metrics system to measure the effect of the use of the index system and other risks, verify that the A-share market risk measure of the superiority of the index system, the empirical test of the previous studies and metric index system parameters to provide an empirical basis for the A-share market risk ; Chapter V, based on the above given major research to be able to A-share investors and managers to provide investment advice and management ideas.

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