【摘要】 实证研究表明:我国证券市场的系统性风险整体呈现降低趋势;系统性风险与市场指数存在负相关性,牛市期间系统性风险显著降低,熊市期间系统性风险持续走高;行业间变异系数增大,风险比重方差随时间变化而呈显著性差异;政策因子对系统性风险具有显著性影响,这说明我国股市很大程度上仍为政策市。更多还原

【Abstract】 The empirical analysis shows that the system risks in the China security market overall emerge a reducing trend;there is a negative correlation between the system risks and market indexes,meaning that the system risks reduce significantly in bull market and rise continuously in bear market;the cross-sector coefficient of variation raises and the variance of risk-weighted changes significantly with the change of time;the policy factors have a significant effect on the system risks,indicating that the China equity market still a policy-oriented market to a large degree.更多还原