system risk

Economic terminology

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Systematic Risk market risk , also known as non dispersible risk, refers to the possibility of loss to investors due to the increased risk of investors due to the impact and changes of various factors. Incentives of systematic risk mostly occur in enterprises, etc economic entity External, enterprises and other economic entities act as Market participants It can play a certain role, but due to the influence of many factors, it can not completely control itself, and its volatility is generally large, sometimes showing a certain periodicity. Such systematic risks cannot be diversified.

Another type Unsystematic risk (Non systematic Risk) refers to the internal and decentralized risk Structural risk (could be diversified)。 It is worth noting that to distinguish it from systematic risk, systematic risk looks very similar to systematic risk, but the latter means that the whole market or System crash Risk.

Chinese name: system risk
Foreign name: Systematic Risk

Alias: market risk
Features: It cannot be avoided through decentralized investment

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definition

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It affects all assets and cannot pass Portfolio The risks eliminated are mainly caused by those that affect the whole market risk factor Caused by. These factors include Macroeconomic situation Changes in National economic policy Changes, fiscal reform, etc. It refers to the increase of investors' risk caused by the influence and change of various factors. Generally speaking, although systematic risk cannot pass Diversified investment It can be avoided by Risk hedging conduct risk management 。

features

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1. It is caused by common factors. Economic aspects such as interest rate, current exchange rate, inflation Macroeconomic policy And monetary policy 、 energy crisis 、 Demographic trends 、 economic cycle Circulation, etc. Political aspects such as regime change, war conflict, etc. Social aspects such as institutional change Ownership Reconstruction, etc.

system risk

2. It has a significant impact on all stocks in the market holder All have an impact, but some stocks are more sensitive than others. For example, basic industries and raw material industries, the systematic risk of their stocks may be higher.

3. It cannot pass Diversified investment To eliminate it. Because the system risk is beyond the control of individual enterprises or industries, and is caused by some factors in the social, economic and political system, it affects the operation of most enterprises, so shareholders should choose anyway investment portfolio It doesn't help.

For a stock market, the occurrence of systematic risk is frequent. For example, in March 1993, Shanghai and Shenzhen stock markets From 1558 and 358, the highest points in the history, to more than 330 and 94 at the end of July 1994, respectively, the market value of the stock dropped by more than 70%, which is the occurrence of systematic risk.

influence factor

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Share price is too high

When the stock market undergoes wild speculation, especially irrational speculation, the stock price will soar, resulting in P-E ratio High, relative investment value Inadequate. At this time, the profits of the funds entering the market first have been very rich, and some shareholders will take the lead to withdraw and invest their funds elsewhere, leading to a sharp drop in the stock market. There is a famous saying on the stock market that after a sharp rise, there will be a sharp fall twin brothers Is an objective description of this risk.

Conformity behavior

In the stock market, many shareholders do not Insights When you see someone selling shares, you don't investigate the reason, so you think you should Stock quotations Bullish, follow Massive selling So as to cause a selling frenzy Stock price The sharp drop caused losses to shareholders.

environmental deterioration

When a country Macroeconomic policy Changes will affect the operation of listed companies and even the whole national economy When adverse effects occur, such as the change of political power or government, the death of a leader, war and social unrest caused by other factors, at this time, the operation of all enterprises will be affected without exception, and their operation level will face the risk of general decline, and all stock prices on the stock market will be adjusted downward accordingly.

Interest rate increase

When the interest rate is adjusted upward, the relative investment value of the stock will decline, leading to the decline of the entire stock price. The impact of interest rate increase on the stock market is expressed in three aspects: First, most enterprises have considerable debts borrowed from banks, especially working capital Some of them are basically loan funds. The increase of interest rate will increase the interest burden and cost expenditure of enterprises, thus affecting the operating performance ； Second, with the increase of interest rates, bonds and residents Savings rate It will also increase accordingly, which will reduce the relative investment value of the whole stock market. Some investors will sell stocks and deposit their funds in banks for arbitrage or investment bond market , leading to the stock market relation between supply and demand The conversion to its unfavorable direction leads to the decline of the stock price; Third, the increase of interest rate will restrain Social consumption , reduce effective flow Total amount of money , thus affecting the enterprise's marketing management , resulting in sales revenue Reduction and overall Operating benefits The decline of.

tax policy

The level of tax revenue is related to the operating efficiency of listed companies and shareholders Investment income It is inversely proportional, so the impact of tax on the stock market can also be divided into two aspects. First, in terms of listed companies, many listed companies now enjoy 15% Preferential tax rate Policy, once the state cancels its preferential tax rate and uniformly adjusts the tax rate to 25% Profit after tax It will decrease by 10%, which will affect the operating performance of listed companies. On the other hand, in terms of stock market investment, dividends should be taxed, and the tax rate will directly affect stock investment The benefits of. Some countries also levy taxes on the stock market Capital gains tax , that is, speculation on stocks Price difference Taxation, which will directly affect shareholders' Investment benefit And investment enthusiasm, which leads to the transfer of capital in the stock market and the decline of stock prices.

Capacity expansion

The expansion of the stock market will gradually change the relationship between the supply and demand of capital and stocks in the stock market, making the capital in the stock market develop from oversupply to oversupply, leading to the decline of stock prices. Expansion not only includes New shares Listing and allotment of shares, which also includes A B-share market Integration state share and Corporate Stock Listing and circulation, etc.

Re entry

The resumption of customs will reduce tariffs on a large scale, which will lead to the influx of foreign products, divide the domestic product market, intensify competition among enterprises, and reduce sales revenue Enterprise benefits The decline of the stock price. Other investment fields profit margin Improvement. Increase of profit margin in other investment fields, such as estate Recovery and integration of Postmarket The prosperity of the market and the improvement of profit margins of other commercial industries will lead to the outflow of capital from the stock market, which will lead to the decline of stock prices.

Various risks

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Policy risk Policy changes can directly affect the price of securities. Some seemingly unrelated policy changes, such as the policy on private house purchase, may also affect stock market Funds for relation between supply and demand 。 Therefore, economic policy The introduction or adjustment of laws and regulations will have a certain impact on the securities market. If the impact is large, it will cause large fluctuations in the overall market.

Interest rate risk ： market price The change of Market interest rate Level. Generally speaking, when the market interest rate increases, it will have a certain impact on the supply and demand of capital in the stock market.

Purchasing power risk Due to the rising prices, the same amount of money may not be able to buy the same goods in the past. This price change has led to the actual capital purchasing power Of Uncertainty , called purchasing power risk, or Inflation risk 。 In the securities market, because the return on investment in securities is paid in the form of money, the purchasing power of money decreases during the inflation period, that is, the investment Actual income The decline may also cause losses to investors.

market risk Market risk is the most common risk in securities investment activities, which is directly caused by the fluctuation of securities prices. When the overall market value is overvalued, the market risk will increase. For investors, systematic risks cannot be eliminated, and investors cannot diversify investment portfolio However, the impact of systemic risk can be weakened by controlling the proportion of capital investment.

Strengthen prevention

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When the overall market situation is large rise ， volume Repeated creation amount as much as heaven—extremely large amount , in the stock market Moneymaking effect Popularization, the market popularity is boiling, investors actively enter the market, and shareholders risk awareness Gradual indifference is often a sign of systemic risk. From investment value analysis When the overall market value tends to be overestimated, investors must not relax their vigilance against systematic risks. Stock market During the operation of Uncertainty Factors, investors can constantly adjust the proportion of capital investment according to the stage of market development. Due to the large rise of the stock market control risk From the perspective of, investors should not adopt the mode of heavy position operation, and the full position operation of full entry and full exit is more inappropriate. During this period, funds need to be invested Proportional control Within the scope of tolerable risk. Investors with heavy positions can selectively sell some stocks to reduce their positions, or use some of their investment funds for relatively safe investments, such as new shares.

Investors cannot predict when there will be systemic risk, especially in the period of rapid rise in the market. If you sell your stocks in advance, it often means that investors cannot enjoy the opportunity of "crazy" market. At this time, the investor can continue to hold shares on the premise of controlling the position, but do a good job at any time Stop winning Or stop loss preparation. Once there is a systematic risk in the market, investors can decisively cut their positions and sell, thus preventing further expansion of losses.

"Systematic risk" refers to the possibility of an event causing a series of continuous losses in a system composed of a series of institutions and markets. Spillover and contagion of risk are the most typical characteristics of systemic risk, and another important feature is the risk and return of Asymmetry 。

global economy 、 financial system An important feature of development is fictitious economy Of Development speed And scale Much greater than Real economy 。 In terms of the relationship between the virtual economy and the real economy, the past research in the academic circles at home and abroad paid more attention to the development of the virtual economy, which increasingly deviated from the development of the real economy (such as International money market Of a turnover Much greater than International trade volume Some economists even think that this "inverted pyramid" type of economic and financial system may collapse. However, in people's studies, the virtual economy and the real economy are more closely related, especially in the international Financial market liberalization And industrialization National economy The relationship between performances.

On the one hand, the development of virtual economy is Real economy It has brought benefits, such as the establishment and development of the international money market and the related income stream creating an unprecedented real purchasing power , taking the United States as an example, the financial, insurance and real estate sectors gross domestic product Its contribution is far greater than that of manufacturing; On the other hand, since 1970, when financial innovation and Financial market liberalization While developing vigorously, the world economy growth rate Start to decline, major industries developed country The output growth rate in the 1990s dropped to about 2/3 of that in the 1960s, developing country The average growth rate of.

Risk return

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Another important feature of systematic risk is the asymmetry of risk and return, which is also the fact that the occurrence of systematic risk often damages Real economy Is one of the important reasons. The existence of systematic risk may make the market mechanism Threaten the overall development of finance and economy. The remedy for this defect of a completely free market mechanism mainly depends on a strong regulatory authority. It is finance that forces micro entities to take systematic risks into account regulator Responsibility; Regulatory risk management The more stringent, Private sector The higher the cost of Externalities Internalization. In order to ensure that individual investment decision-makers not only consider the risks faced by their individuals, but also the risks faced by the whole society, regulators may add additional conditions. For example, the regulatory authority may require the banking sector and other financial institutions to capital adequacy ratio Meet certain standards (that is, require working capital Holding up to a specific proportion of all assets). For these financial institutions, the holding of such liquid capital means that they must give up some potential gains Investment activities This is a kind of cost that regulators hope to resist financial crisis Impact of; Regulators may also try to impose some restrictions on investors' actions directly. If the short-term capital flows Charge a certain fee to force the private sector to compare its costs with Short term capital flows Possible impact on a country's economy social cost Taking into account; In some cases, regulators may even exercise direct control over specific capital flows.

Risk supervision

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And Individual risk Compared with the management of, the regulation of systematic risk is more difficult and complex, and requires some fundamental changes in the regulatory concept and mode. The first reason for the difficulty in systematic risk supervision is to achieve systematic risk Measuring Risks Difficulties. regulator The work of must include prohibition Specific risks It is converted into systematic risk, acting as a "guard" between the two risks, and in order to prevent the loss of market confidence Financial panic ， central bank It is extremely important to fulfill the responsibility of lender of last resort by injecting liquid funds.

However, in many cases, when individual financial institutions are in trouble, it may be difficult for the central bank to find appropriate channels to inject liquidity funds, so that it can not perform the duties of lender of last resort well, which is another difficulty in systematic risk supervision. Especially when Financial derivatives Of OTC trading When problems occur, the central bank may not be able to use its own resources to inject funds to provide assistance. Therefore, it is necessary for regulatory authorities to organize Private sector Inject funds for assistance to avoid and mitigate losses caused by systemic risks.

For systematic risk supervision lender of last resort And similar deposit insurance system There is another defect. When regulators try to deal with systemic risks, they often have to provide financial support, so it is inevitable that moral risk Question. Systematic risk is not simply the sum of private risks, but greater than the sum of private risks. Similarly, the sum of risks of private management is less than the total risk of the financial industry, because as mentioned above, private management is only responsible for Risk avoidance Instead of eliminating risk. The purpose of lender of last resort and deposit insurance system is to control such social risk However, the lender of last resort and deposit insurance system, to some extent, only transfer risks from the private sector to public sector , transfer part of the systemic risk to moral risk 。 Therefore, effective supervision should provide lender of last resort assistance in different situations and impose punitive interest on the aid recipients; Deposit insurance and other systems should not be targeted at financial institutions or individuals speculator Provide assistance only for suffering from non speculative Investment loss And their families.

In the past, one of the main regulatory measures to deal with systemic risks was to financial market Clarify the division of labor and separate them from each other, such as the "Glass Steagall Law" in commercial banks and other Financial services Set "firewall" between, prohibit Mixed operation 。 However, since the 1990s, due to the impact of market liberalization, the distinction between banks and other financial institutions has become increasingly blurred, and Globalization of financial market With the deepening of integration, all the divided parts are closely interdependent, whether among countries or internationally. In particular, in the modern financial market, a prominent feature is that financial innovation activities are becoming more and more active, and events that have never occurred or been foreseen before also continue to occur, and it is often new events that lead to the greatest risk. This has further challenged the regulatory approach and concept of financial systemic risk investment bank Insurance companies and others Supervision of financial institutions As in 1987, it became more and more difficult and ineffective to allocate funds among different types of financial institutions to stabilize fluctuations. Here, people would like to emphasize that regulators must have some flexibility, and must implement supervision based on the principles of risk management, rather than the rules and frameworks set in advance. The fundamental reason is that, as a modern economy System core Of Financial system , is no longer a simple service system It is a system that comprehensively considers risk management and self-development. Therefore, supervision should not be limited to the management of financial business and functions, but should adhere to the principle of risk management. At the same time, regulators must adhere to the flexibility based on market changes and respond quickly to market changes, because any conventional rules and rules based on certain products can not adapt to the changing financial markets.