β系数时间标度幂律特征研究——基于分形市场假说  

A Study of the Time Scaling Law of the β-Coefficient: Based on the Fractal Market Hypothesis

作　　者：魏益华[1] 程九思[1] 周佰成[1,2] 

机构地区：[1]吉林大学经济学院,吉林长春130012 [2]吉林大学中国国有经济研究中心,吉林长春130012

出　　处：《厦门大学学报（哲学社会科学版）》2014年第6期44-54,共11页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

基　　金：国家社会科学基金青年项目"中国与全球股票市场价格波动的动态相关性研究"(11CJY105)

摘　　要：资本资产定价模型旨在衡量均衡资本市场中风险与收益之间的关系,β系数是该模型提出的计量系统性风险的一种指标。证券价格的波动具有两类分形特征:一是市场的波动具有状态持续性,其波动的方差具有时间标度性;二是证券的波动与市场的波动之间的协方差具有时间标度性。当这两个标度特征不一致时,β系数具有时间标度性,且其标度指数为两者之差。理论推导和对沪深300成分股5分钟高频数据的实证检验表明,标度可变资本资产定价模型(SVCAPM)可以有效描述β系数的标度幂律特征,并具有更高的稳健性和对系统性风险的识别度。The Capital Asset Pricing Model （CAPM） is aimed at measuring the relationship between risks and returns in the equilibrium market, and the B-coefficient is an index to measure the systemic risk of this model. The fluctuation of prices of portfolio bears fraetal characteristics in two ways： （ 1 ） the volatility of the market portfolio presents persistence, and the variance of fluctuations shows a time scaling law ; （2） the covariance between portfolio fluctuations and the market portfolio fluctuations presents, too, a time scaling law. When one scaling exponent differs from another, the β-coefficient shows a certain time scaling law and this sealing exponent will be the difference between the two above-mentioned expo-nents. Both theoretical and empirical studies of the CSI 300 components＇ 5-min high-frequency data indicate that SVCAPM can efficiently describe the existence of a time scaling law of the β-coefficient, and that it possesses greater stability and is able to increase the ability to recognize systemic risks.

关 键 词：分形市场 Β系数 时间标度性 证券市场 

分 类 号：F830.91[经济管理—金融学]