Show simple item record

dc.contributor.author赵景文
dc.date.accessioned2017-11-14T01:04:57Z
dc.date.available2017-11-14T01:04:57Z
dc.date.issued2005-11-22
dc.identifier.citation数理统计与管理,2005,(06):110-115
dc.identifier.issn1002-1566
dc.identifier.otherSLTJ200506018
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/137856
dc.description.abstract本文用Chow检验方法研究了中国A股股票相邻两期的β系数是否稳定的问题。主要的发现有:1.对于个股而言,80%以上股票的β系数在上半年和下半年是稳定的。在扩展检验时期至相邻两年后,股票相邻两期的β系数稳定的概率有所降低,但是仍然高于60%;2.股票组合β系数稳定性的概率超过70%;3.股票组合的β系数在相邻两期稳定的概率与个股并无显著差异,并且,组合中的股票数量与组合的β系数在相邻两期是否稳定的概率并无显著的相关关系。
dc.description.abstractWe use Chow test in this paper to check whether China A-share listed firms' β coefficients are stationary in two sequential periods.The main findings are in the following:(1) As for single stock,more than 80 percent of β coefficients of single stocks are stationary in two sequential half years,When extending test periods to two sequential years,the probability that β coefficients are stationary decreases,but is still greater than 0.6.(2)The probability that β coefficients of stock portfolios are stationary exceeds 0.7.(3)The probability that β coefficients of stock portfolios are stationary is not significantly different from that of single stocks,moreover,the size of portfolios is not significantly correlated with the probability that β coefficients of stock portfolios are stationary.
dc.description.sponsorship国家自然科学基金项目(批准号70273060)资助
dc.language.isozh_CN
dc.subjectβ系数
dc.subject稳定性Chow检验
dc.subjectβ coefficients
dc.subjectstationarity
dc.subjectChow test
dc.title中国A股股票相邻两期β系数稳定性的Chow检验
dc.title.alternativeChow Test on the Stationarity of China A-Share Listed Firms' β Coefficients in two Sequential Periods
dc.typeArticle


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record