中国股市时变贝塔的统计特征及其在股指期货中的应用  

The statistical characteristics of the time-varying betas and the applications to the stock index futures in China stock market

作　　者：吴武清[1] 陈敏[1] 刘伟[1] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2008年第10期14-23,共10页Systems Engineering-Theory & Practice

基　　金：国家基础研究计划(973项目)(2007CB814902);国家自然科学基金(70221001;70331001;10628104)

摘　　要：选用中国股市30个行业的日指数数据,研究各行业贝塔的时变特征,并据此分析了行业和股市的动态关系,从时变贝塔的结构特征方面研究了中国股市的动态发展.时变贝塔的应用也是一个值得探讨的课题,本文首次将时变贝塔引入到股指期货仿真交易市场中的套期保值研究.The estimation of time-varying betas is an important and growing area of research. Using daily China stock market data from 2000 to 2006 for the 30 sectors, we estimate the time-varying betas by Multivariate GARCH（ MGARCH） model. We discuss the statistical characteristics of the beta estimates for sub-periods and the relationship between the sector index and the market index by analyzing the structures of the time-variation betas. In this paper, we also use the time-varying betas to study the index futures, which seems to be new.

关 键 词：时变贝塔 资本资产定价模型 M—GARCH(Multivariate GARCH) 股指期货 

分 类 号：F830.91[经济管理—金融学]