| 中国证券市场系统性风险结构的实证分析 |
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| 引用本文： | 张宗新,朱伟骅.中国证券市场系统性风险结构的实证分析[J].经济理论与经济管理,2005,0(12):32-37. |
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| 作者姓名： | 张宗新 朱伟骅 |
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| 作者单位： | 复旦大学, 上海, 200433 |
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| 基金项目： | 国家自然科学基金资助项目(70303006) |
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| 摘 要： | 实证研究表明:我国证券市场的系统性风险整体呈现降低趋势;系统性风险与市场指数存在负相关性,牛市期间系统性风险显著降低,熊市期间系统性风险持续走高;行业间变异系数增大,风险比重方差随时间变化而呈显著性差异;政策因子对系统性风险具有显著性影响,这说明我国股市很大程度上仍为政策市。
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| 关 键 词： | 证券市场风险 系统性风险 风险结构 |
| 文章编号： | 1000-596X(2005)12-0032-06 |
| 收稿时间： | 2005-08-12 |
| 修稿时间： | 2005年8月12日 |
AN EMPIRICAL ANALYSIS OF THE STRUCTURE OF SYSTEM RISKS OF CHINA SECURITY MARKET |
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| ZHANG Zong-xin,ZHU Wei-hua.AN EMPIRICAL ANALYSIS OF THE STRUCTURE OF SYSTEM RISKS OF CHINA SECURITY MARKET[J].Economic Theory and Business Management,2005,0(12):32-37. |
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| Authors: | ZHANG Zong-xin ZHU Wei-hua |
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| Institution: | Fudan University, Shanghai 200433, China |
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| Abstract: | The empirical analysis shows that the system risks in the China security market overall emerge a reducing trend;there is a negative correlation between the system risks and market indexes,meaning that the system risks reduce significantly in bull market and rise continuously in bear market;the cross-sector coefficient of variation raises and the variance of risk-weighted changes significantly with the change of time;the policy factors have a significant effect on the system risks,indicating that the China equity market still a policy-oriented market to a large degree. |
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| Keywords: | risks of security market system risks structure of risks |
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