Research in China Stock Market Based on VaR Model
Li Yang · Journal of Harbin University of Commerce · 2010
Based on VaR Model in risk measurement,the paper tests the model with the return of Shanghai Stock Market.Three conclusions have been draw from the analysis.First,t-student distribution is not suitable to descript the return distribution,the return is closer to General error distribution(GED).Second,there is high level risk in shanghai stock market but most investors are not sensitive to risk.Third,The return of Shanghai Stock Market has significant effect of leverage.