The measure of financial market stability based on quantile regression

A new measure of financial market stability is built based on the perspective of systematic risk using quantile regression. After discussing the principle of financial stability measurement, the feasible calculation steps are designed and used to empirical analysis for the dynamic characteristics of financial market in China. The proposed empirical results show that the financial market stability index is consistent with the reality of the China's financial markets, which can effectively detect the unstable period, and the index is robust. It is an effective quantitative indicator to monitor the financial markets, which can provide support for financial regulation.