Measurement and Analysis on the Risk of China Stock Market under Different Economic Systems

With the rapid development of global financial markets, the volatility of these markets is further exacerbated. Under the influence of global finance, the volatility of China´s stock market increased. Investors have to suffer more risks by the growing volatility. A good way to measure the risk is quite necessary. In this paper we selected mainland China, Hong Kong, Taiwan´s stock index return rates as the research objects to analyze the risk of China stock market under different economic systems. Considering the peak and fat-tail characteristics of the stock index return sequences, we established the VaR calculation which based on the GARCH model to make empirical research on these three stock indexes, and also verified the accuracy of VaR values. This study finds that the measurement of risk based on GARCH model is valid, and also analyzes the relationship between different measurement effects and economic systems.