Empirical research of systematic risk:Evidence from Shanghai's stock market
- 数学科学－已发表论文 
Beta系数是资本资产定价模型(CAPM)系统风险的量化指标,它揭示了某种证券或者证券组合的风险与市场平均风险的差异.本文在CAPM理论框架下,尝试性地利用带有马尔科夫体制转换的市场模型,对上海股市中的上证30指数的30只组成股票的系统风险beta系数进行动态建模,估计了日收益率度量时限条件下的beta系数,来研究中国股市中系统风险的时变性和体制转换行为,结果发现这30只股票的波动率存在非常强烈的体制转换特征.但是,令人吃惊的是系统风险的时变性比较弱,体制转换行为不明显.The beta coefficient is the measurement of Captical Asset Pricing Model's(CAPM) systematic risk. It reveals the difference between the risk of individual security(or portfolio) and the average risk of all securities in the market. Under the CAPM theory, we try to develop and expand the market model with markov regime-switching, and use 30 stocks of Shanghai Stock 30 index as the sample to model their systematic beta coefficient. We estimate the beta coefficient at the daily return to study the time-varying and regime-switching properties of the China's stock market. Our results show that there are very strong regime-switching evidence of volatility, however, we find surprisedly that the time-varying evidence of the systematic risk is very weak, and the regime-switching behave is not obvious. And we find that the systematic risk is difference between different.