上海股票市场基于CAPM的风险研究  

The Empirical Research of Risk Based on CAPM in Shanghai Stock Market

作　　者：魏悦姿[1] 李元[2] 

机构地区：[1]揭阳职业技术学院数学与计算机科学系,广东揭阳522000 [2]广州大学数学与信息科学学院,广东广州510006

出　　处：《荆楚理工学院学报》2009年第5期58-63,共6页Journal of Jingchu University of Technology

摘　　要：β系数是股票系统风险大小的度量,在CAPM的隐含假设下,讨论系统风险的稳定性是很有必要的。文章首先对上海股票市场的四个行业板块在日收益率下β系数进行估计,然后对系统风险稳定性进行分析,结论是系统风险在较长的时间段上不稳定,在较短的时间段上稳定性较好。The beta coefficient is the measurement of stock＇s system risk. It＇s necessary to discuss the stability of systematic risk under the implicit assumption of CAPM. In the paper we estimate the beta coefficients of four groups in Shanghai Stock Market at the daily return, and we analysis the stability of systematic risk. The results show that systematic risk is unstable over long time interval, however, it＇ s more stable over shorter time interval.

关 键 词：系统风险 稳定性 CAPM Β系数 

分 类 号：O213[理学—概率论与数理统计]