基于条件VaR模型的中国股市风险的影响因素分析

考虑了更为灵活的股市风险的测度方法——条件风险价值模型,它将风险价值与其影响因素结合起来,深刻地刻画了各影响因素对股市风险的影响特征.实证结果表明:政策事件对股市风险影响是正向的,而且影响效果更多地体现于极端风险偏好上;交易额变化率对风险的影响在极端和中度风险偏好上没有明显差异,正的冲击将导致中度风险和极端风险同向扩大;而对于收益率的滞后项来说,正的冲击将导致风险平均反转和中间风险收缩,负的冲击则导致风险平均反转和中间风险扩大.

China Stock Market Risk Influence Factor Analysis Based on Conditional VaR Model

The paper considers a more flexible method for measuring stock market risk-the conditional VaR model,which is used to portray the factors influencing the market risk.Empirical analysis indicates that the policy event effect is positive,but its influence effect manifests extreme risk manner.The effect of the growth rate of trade volume has no obvious difference on the extreme and the moderate risk manner,the impact causes the moderate and the extreme risk expanse simultaneously.But for the lagged income rate...