| 摘要: |
| 通过对中国大陆、中国香港、美国股市日收益率的分析，运用POT模型对三个股市的市场风险进行测度，得出以下结论：（1）三个股市在日收益率分布特征上具有一定的共性，但中国大陆股市的高收益是建立在高风险基础上的，中国香港股市中存在极端收益的可能性大，美国股市的收益率波动性较小；（2）持有大陆股票存在的期望损失最大，持有美国股票面临的期望损失最小，所以我国各经济主体应共同努力以规避股市市场风险。 |
| 关键词: 股票综合指数 收益率 POT模型 VaR ES |
| DOI： |
| 分类号: |
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| Study on the Stock Market Risk of Mainland China, Hong Kong and the United States |
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LIN Yong, LI Yanchao
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| Abstract: |
| Based on the analysis of stock market， yield of the mainland China, Hong Kong and America, this paper uses POT model to measure the market risk of each stock market of the three, derives the following conclusions: (1) the three stock markets on the return distribution have a certain generality, but the high yield of the stock market of China is established on the basis of high risk, the possibility of extreme return exists in the Hong Kong stock market, the volatility of the U.S. stock market yield is small; (2) the expected loss of the mainland China is largest, the expected loss of the holding U.S. stocks is minimum, so the economic subject in China should make joint efforts to avoid market risks. |
| Key words: stock composite index yield POT model VaR ES |
