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1、ABSTRACTSystemicriskinsecuritiesmarkethasthecharactersofwidespreading,rapidtravellinganddeepinfluencing.Oncesystemicriskoccurs,thewholesecuritiessystemwillcomeacrosshugelosses,andaffecttherealeconomy.Asanemergingmarket,Chinasecuritiesmarkethasasimplestructureandweakanti-riskability,intheeven
2、tofsystemicrisktheremaybeseriousconsequences.ToinvestigatethemechanismoftheinternalandexternalfactorsactingonthesystemicriskinChinasecuritiesmarket,thisarticleselectstockmarketasarepresentative,empiricallyanalyzesthisproblem.First,usingdailyclosingdataofstockindexesofAmerica,England,German,F
3、rench,Japan,Korea,HongKongandTaiwanfrom2005to2012astherepresentativeofthemarketcondition,usingCSI300astherepresentativeofChinasecuritiesmarket,thisarticlemakesanempiricalanalysiswithCoVaRmethod.Theresultshowsthatinthelongrunthestockmarketofallcountriesandregionshasacertaindegreeofinfluenceon
4、Chinastockmarket,theAsianmarketswhichhaveclosergeopoliticalrelationswithChinastockmarketinfluencehavegreaterimpactthanEuropeanandAmericanmarkets,thespreadofsystemicriskneedstime,cantransferindirectlythroughinterconnectedmarketsandmightbeamplifiedintheprocessofindirecttransfer.Andtheinfluence
5、degreeofallcountriesandregionsonthesystemicriskinChinastockmarketisconstantlychangingovertime.Second,thisarticleusesdailyclosingdataofCSI300indexandCSI300industryindexastherepresentativeofChinastockmarketandeachindustrysector,alsoemploystheCoVaRmethodfortheempiricalstudy.Theresultshowsthatev
6、eryindustrysectorcontributestothewholestockmarket’ssystemicrisk,thedegreeoftheimpactchangesovertimeforeachsector,thesectorwithalargeVaRmightnotnecessarilyhaveabigimpactontheoverallstockmarket’ssystemicrisk,butthesectorwithasmallVaRmighthaveabigimpactontheoverallstockmarket’ssystemicrisk.KEYW
7、ORDS：SecuritiesMarket,systemicrisk,CoVaR目录第一章绪论.......................................................................................................................11.1选题背景..........................................................................
