The systemic risk of China's stock market during the crashes in 2008 and 2015

被引：28
|
作者：
Zhao, Shangmei [1 ,2 ]
Chen, Xinyi [1 ,2 ]
Zhang, Junhuan [1 ,2 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
[2] Beihang Univ, Minist Educ, Key Lab Complex Syst Anal Management & Decis, Beijing 100191, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 520卷
基金：
中国国家自然科学基金;
关键词：
Market microstructure; Financial crisis; Systemic risk; Limit order book; EMPIRICAL-EVIDENCE; FINANCIAL CRISIS; ORDER BOOK; TRANSMISSION; FLOW;
D O I：
10.1016/j.physa.2019.01.006
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper studies the systemic risk of China's stock market during crashes in 2008 and 2015 using the 5-minute intraday transaction data. The results show that liquidity contracted significantly after the downtrend. The systemic risk was magnified during the crash in 2008 while the system risk increased to an abnormal level before the crash in 2015. The volatility of systemic risk rose in 2015 compared to the one in 2008. Moreover, the Johansen co-integration test proves that there is a long-run equilibrium relationship between security margin trading and systemic risk volatility. Granger causality test indicates that margin financing is the Granger cause of the volatility of systemic risk in a bear market. This shows that the government response may impose negative effects on the systemic risk of China's stock market. It helps us better to understand features of systemic risk in China's stock market, and offer new ideas on how to reduce and stabilize the systemic risk. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页码：161 / 177
页数：17
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