中国股票市场贝塔系数稳定性研究  

The Research of the Stability of Beta in China's Stock Market

作　　者：樊丽娟[1] 周静[1] 

机构地区：[1]广州大学数学与信息科学学院,广东广州510006

出　　处：《北方经贸》2007年第12期93-94,共2页Northern Economy and Trade

摘　　要：贝塔系数是用于衡量证券市场系统风险的一个重要概念,通过对贝塔系数的估计,投资者可以预测证券未来的市场风险。但是,贝塔系数要用过去的数据来估计,所以,除非贝塔系数具有相对的稳定性。否则,就无法作为证券市场未来系统风险性的无偏差估计。利用CHOW检验方法对2004年1月至12月间在深圳交易所上市的25只股票的交易数据和深证综合指数做实证分析表明,在我国证券市场上单只股票贝塔系数具有稳定性,与大部分学者观点不同;同时,又对在上海证券交易所上市的金融行业7只股票和传播与文化产业6只股票的日数据与上证综指做回归,并计算F值,说明金融行业比传播与文化产业的贝塔系数的稳定性差。As one of the important concepts in the capital market, beta is generally used to measure the systematic market risk of a security or a portfolio in future.. However, estimate of beta is reached with the past data. Unless beta is relatively stable ,it cannot be applied to the estimate of the future risk. We use CHOW Test analyze 25 stock＇s data in Shenzhen Exchange and Shenzhen securities compositive index during Jan. to Dec.2004. The result indicate ,only one stock has a stable beta in our securities business. It is different from most scholar. At the same time, We make regressions using day data and Shanghai securities in Shanghai Exchange. further more We count F value. It means that finance industry has a less stability than culture industry.

关 键 词：贝塔系数 CHOW检验 稳定性 

分 类 号：F830.9[经济管理—金融学]