Markov区制转换模型在行业CAPM分析中的应用  

The Application of Markov Regime Switching Model in Industrial CAPM Analysis

作　　者：赵鹏[1] 唐齐鸣[1] 

机构地区：[1]华中科技大学经济学院

出　　处：《数量经济技术经济研究》2008年第10期87-97,共11页Journal of Quantitative & Technological Economics

摘　　要：整体经济环境的变化导致了股票收益和风险的时变性,从而使得行业板块系统风险β系数也表现出时变特征。本文以沪深股市中的24个行业板块为研究对象,运用Markov区制转换方法客观划分股市高、低波动状态,建立了一个二状态Markov区制转换CAPM模型,对我国股市行业β系数的动态进行了实证分析。结果表明,就大多数行业而言,在高、低两种波动状态下CAPM模型均得以成立,且Markov区制转换CAPM模型显著优于传统的CAPM模型。The changing of economic environment leads the returns and volatilities to be time-varying, so the industrial systematic risk betas show conspicuous ＂time-varying＂ characteristic. Regarding the 24 different industrial sectors in Chi- nese stock markets as the objects of studying, the paper adopt Markov regime switching model to identify the high or low volatility of stock markets at any time- points, and establish a dual state beta CAPM model to illustrate the dynamics of in- dustrial betas. The empirical result show that as far as most industrial stocks are concerned, the data from high and low volatilities state are consistent with CAPM, and the Markov regime switching CAPM model be superior to the traditional CAPM model.

关 键 词：时变性 MARKOV区制转换 CAPM Β系数 

分 类 号：F830.91[经济管理—金融学]