In the aftermath of the subprime mortgage crisis in the United States

macro-prudential supervision has become the global common financial supervision strategy

which has caused major changes in the financial supervision framework and supervisory system of various countries. This paper studies the systemic risks in the securities market under the framework of macro-prudential supervision and analyzes the mechanism of the occurrence of systemic risks in the securities market in combination with cases of market crises. Based on the requirements of macro-prudential supervision

we construct a composite index that measures the systemic risk of the securities market including factors from the dimensions of macroeconomics

stock market and securities institutions. The results indicate that since 2000

the systemic risk index of securities market in China has constantly fluctuated. The systemic risk gradually declined before 2006

but has been increasing after 2008. Empirical results show that systemic risks in the securities market will increase substantially before each crisis. After measuring the systemic risk

this paper sets the early warning value of the systemic risk index and uses the Logit model to analyze the early warning factors to test the validity and reliability of the early warning value. The early warning of systemic risks in the securities market is an important part of macro-prudential supervision and the basis for the implementation of inverse periodic supervision. Macro-prudential supervision tools should be used to carry out counter-cyclical adjustments when systemic risks reach or exceed the warning value mean

which is of great significance to ensure the stable development of the securities market.