随着股市的迅速发展，越来越多的人参与到了股市当中，股市的起伏跌宕也让投资者体会到了中国股市的风险。本文先介绍了股市系统风险，以宏观经济变量对股市系统风险的影响为切入点，进行理论分析，剖析了宏观经济变量中的GDP、货币供应量与利率等变量与股市系统风险的关系。在实证研究部分，首先采用因子分析法对数据进行降维处理，根据信息损失不大于15%的原则将众多的宏观经济变量综合成经济总量因子、利率因子以及固定资产因子，后采用多元线性回归模型来分析其对股市系统风险的影响。在多元回归模型中，自变量还加入了虚拟变量和基金月度成交额变量，结果显示，三个因子以及虚拟变量、基金月度成交额变量对我国股市的系统风险均有显著性影响。根据回归模型的结果，本文提出了降低我国股市系统风险的几点建议：建立健全各种机制，使我国的股票市场早日走向正规；应发展一些机构投资投资者；转变政府职能，将直接干预股市的政策变为引导性政策，还要加强对股市的监管力度。
关键词：系统风险，宏观经济变量，因子分析，多元回归分析
Macroeconomic Variable for the Research of the Stock Market System Risk
---------Based on the Factor Analysis
Abstract
As the stock market has developed rapidly, more and more people are participating in the stock market, the ups and downs of the stock market also made the investors in china experience risk.
Based on the macroeconomic variable’s impact on the variable system, this article first introduced the risk of the stock market system, did theoretical analysis, analyzed the GDP of macroeconomic variables, the relationship between variables such as money supply and interest rates and the stock market system risk.
In the part of empirical studies, at first , this article used factor analysis for data processing, according to the principle of information as to reduce the loss outweigh the 15%,divided many macroeconomic variables into the total economic output factor, the interest factor and the fixed assets factor, then adopted the linear regression model to analyze its effect on market system risk.
In this model, variables added virtual variables and fund monthly turnover variables, as a result, three factors as well as hypothesized variable, the monthly of our stock market turnover variable system had a notable impact on the risk of our stock market risk.
Based on the results of the regression model, this article then proposed a few suggestions to reduce the risk of our stock market system risk: Setting up sound mechanisms to make our stock market standard, developing some institutions investors, transforming government functions, changing direct intervention policy to the leading policy on the stock market, strengthening the supervision
Keywords：system risk, macroeconomic variable, factor analysis, multiple regression analysis
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