机构地区: 揭阳职业技术学院
出 处: 《荆楚理工学院学报》 2009年第5期58-63,共6页
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.