引言中国A股市场区别于发达国家成熟市场的一个重要特征在于中国A股市场的系统性风险所占比例过高。经过半个世纪的发展,美国股票市场的系统性风险已经由20世纪60年代的30%左右降低至目前的10%左右。与此同时,中国股市的系统性风险虽有下降趋势,但仍处于40%左右的水平,与发达国家还有比较大的差距。一般认为,A股高系统性风险的原因包括我国股票市场受 Introduction An important feature that distinguishes China’s A-share market from mature markets in developed countries is that the proportion of systemic risk in China’s A-share market is too high. After half a century of development, the systemic risk in the U.S. stock market has dropped from about 30% in the 1960s to about 10% now. In the meantime, the systematic risk in China’s stock market has been on a downward trend, but it is still at a level of about 40%, leaving a big gap with developed countries. It is generally believed that the reasons for the high systemic risk of A shares include the subject of China’s stock market