中国A股股票相邻两期β系数稳定性的Chow检验  

Chow Test on the Stationarity of China A-Share Listed Firms' β Coefficients in two Sequential Periods

作　　者：赵景文[1] 

机构地区：[1]清华大学会计系

出　　处：《数理统计与管理》2005年第6期107-112,共6页Journal of Applied Statistics and Management

基　　金：国家自然科学基金项目(批准号70273060)资助

摘　　要：本文用Chow检验方法研究了中国A股股票相邻两期的β系数是否稳定的问题。主要的发现有:1.对于个股而言,80%以上股票的β系数在上半年和下半年是稳定的。在扩展检验时期至相邻两年后,股票相邻两期的β系数稳定的概率有所降低,但是仍然高于60%;2.股票组合β系数稳定性的概率超过70%;3.股票组合的β系数在相邻两期稳定的概率与个股并无显著差异,并且,组合中的股票数量与组合的β系数在相邻两期是否稳定的概率并无显著的相关关系。We use Chow test in this paper to check whether China A-share listed firms＇ β coefficients are stationary in two sequential periods. The main findings are in the following： （ 1 ） As for single stock, more than 80 percent of β coefficients of single stocks are stationary in two sequential half years, When extending test periods to two sequential years, the probability that β coefficients are stationary decreases, but is still greater than 0. 6. （2）The probability that β coefficients of stock portfolios are stationary exceeds 0. 7. （3）The probability that β coefficients of stock portfolios are stationary is not significantly different from that of single stocks, moreover, the size of portfolios is not significantly correlated with the probability that β coefficients of stock portfolios are stationary.

关 键 词：Β系数 稳定性Chow检验 

分 类 号：O212[理学—概率论与数理统计]