摘要我国股票市场作为一个新兴的资本市场，与世界其他成熟发达的股票市场相比，我国的股票市场仍然不够成熟，系统性风险也相对较大。

自2014年8月起，我国股票市场指数突然快速攀升，直至2015年5月，股票指数一直处于急速上涨阶段。此后，股票指数进入了连续不断的震荡期。因此，研究我国股票市场的系统性风险对我国证券市场的发展有着重要的现实意义。42639

本文先是介绍了该课题的研究背景及研究意义，并对国内外学者的研究进行了概括；紧接着分析了股票市场中所存在的一些风险，并对我国股票市场中的系统性风险的特征及现状进行了讨论，发现了我国股票市场系统性风险较大，主要存在着风险防范制度不够完善、市场信息不对称以及投资者非理性行为等问题；然后就是本文最重要的实证分析部分，本文采用了比较评价法来分析我国股票市场的系统性风险，通过中国股票市场指数与其他成熟的国外股票市场指数波动率、方差均值以及β系数思想方法等的比较，对我国股票市场的系统性风险来进行分析；最后，文章还介绍了一些系统性风险的规避措施。

毕业论文关键词：系统性风险；收益率；指数波动率

China’s Stock Market: An Empirical Study of Systemic Risk Abstract

China’s stock market, as an emerging capital market, compared with other mature developed stock markets in the world, China’s stock market is still not mature enough and has high systemic risk as well.

Since August 2014, China’s stock market index has suddenly raised quickly. The stock index has been in the stage of rapid rise until May 2015. Since then, China’s stock market has entered the stock shock period for a long time. Therefore, the research of Chinese stock market systemic risk for the development of Chinese securities market has important practical significance.

The paper firstly proposes the studying background and meaning, carries on the overall to domestic and international scholars’ study. Then we analysis the sorts of risk of stock market, and discuss the characteristics of the systemic risk of stock market in our country. We found that our country stock market systemic risk is a little bit high, because of the imperfect risk prevention system, the asymmetric market information and the irrational behavior of investors. And then, the paper gives an Empirical Analysis of the greatest importance. The paper adopts a comparative evaluation method to analyze the systemic risk of the stock market in our country, through the comparison of China stock market index and other foreign mature stock market in index volatility, the meanvariance method and beta coefficient thought method, analyzes our country stock market systemic risk. Finally, the paper also introduces some measures to avoid systemic risk.

Key Words: System risk  yield  Index volatility 

目  录

摘  要I

AbstractII

目  录III

一  导论1

（一）本文研究背景与意义1

（二）股票市场系统性风险的文献综述2

二 中国股票市场系统性风险的现状及成因3

（一）股票市场中的风险3

（二）中国股票市场系统性风险的特征4

（三）中国股票市场系统性风险的现状及成因5

三 中国股票市场系统性风险的实证分析6

（一）实证分析的理论基础6

（二）样本数据及相关指标的选择6

（三）实证分析7

四 中国股票市场系统性风险规避措施12

（一）完善股票市场风险防范的管理制度12

（二）完善股票市场的监管机制13

（三）加强对投资者的教育14