上海股市β系数研究

【作者】 钟朝辉；

【导师】 王青华；

【作者基本信息】 西南财经大学 ， 数量经济学， 2006， 硕士

【摘要】 在资本市场的理论与实践中,对投资风险的度量研究一直是学术界和实务界关注的焦点问题。随着现代投资组合理论的建立和发展,经济学家们提出了一系列度量风险的方法,β系数就是其中一种被广泛采用的风险度量指标。近30多年来,β系数的研究与应用一直是资本市场中资产定价和风险管理理论与实践的热点之一,争议颇多,其中研究的重点在于β系数的稳定性及其变动特征等方面。一方面,β系数是正确理解资本市场理论中有关收益—风险关系的关键参数,β系数的稳定与否对于CAPM模型在投资决策方面的应用如资产定价、股票收益预测和投资绩效评价至关重要;另一方面,资本市场上的许多事件研究也都依赖于β系数的稳定性。因此,β系数的稳定性研究具有十分突出的理论和现实意义。自Blume在1971年发表了第一篇关于β系数稳定性的研究论文以来,随后有许多学者关注这一问题,采用了各自的数据处理与分析方法来考察β系数的稳定性及其不稳定的特征表现,研究的广度和深度不断扩展,并产生了大量丰富的研究成果和论文。与国外的研究相比,关于中国股市β系数的实证研究较少,而一些涉及到β系数的研究散见于对CAPM模型的实证检验以及市场有效性研究和事件研究中。除了在估计方法和数据选取等方面寻求β系数的变动原因之外,许多学者还从公司的基本特征等方面入手探讨导致同一证券的β系数在不同时期出现变动以及不同证券的β系数在同一时期存在差异性的影响因素。总的来看,研究普遍认同导致β系数差异的影响因素主要有三大类:宏观经济因素(如经济周期、利率、通货膨胀等)、公司的基本特征(如公司的规模、财务结构等)和公司的行业类别及所归属的经济部门。β系数的影响因素研究具有重要的理论价值和现实意义。它不仅更多还原

【Abstract】 In the famous Capital-Asset Pricing Model (CAPM) developed by William Sharp,etc., beta is a measurement of correlation between the price fluctuations of individual security(or portfolio) and the average price fluctuations of all securities in the market, that is called "systematic risk coefficient". Beta has not only important implications in finance theory, but also widely used in investment practices such as asset pricing, portfolio management and performance valuation. Accordingly, beta has received a great attention from both academics and practitioners.Ever since the CAPM came out, many studies have concentrated on the problems about beta, especially the stability of beta and time-varying beta in well-developed capital markets. From the 70’s of twenty centuries to the present, numbers of research outcomes have accumulated in overseas academics. While there are many studies about beta such as beta instability and time-varying beta on developed equity markets, there is little empirical research evidence on these issues on China’s stock market, however, many problems still need to be supplemented and probed into. Therefore, this paper intends to explore the issue of beta stationarity and beta’s influential factors in Shanghai stock market for the period from January 1999 to December 2004 by sampling 30 stocks from the Shanghai Stock Exchanges. The objectives of the paper are to investigate the characteristics of systematic risk in Shanghai’s common stock, to supplement the studies on beta in China and to provide reference for investors and government-policy regulators.Through the empirical studies on the issue of static beta stability, the author has the following findings: (1) the estimation of beta will not be invariant to the length of the differencing interval over which the returns of stocks are measured. (2) Most stocks have intra-period stable betas. (3)更多还原