摘要
贝塔系数是用于衡量证券市场系统风险的一个重要概念。通过对贝塔系数的估计，投资者可以预测证券未来的市场风险。但是，贝塔系数必须要用过去的数据来估计。所以，除非贝塔系数具有相对的稳定性，否则，它就无法作为证券市场未来系统风险性的无偏差估计。利用ＣＨＯＷ 检验方法对深圳交易所交易数据进行实证分析，结果表明，在我国证券市场上，无论是单个股票还是股票组合，贝塔系数都不具稳定性。这说明目前我国证券市场的市场风险是变动不定和难以预测的。
As one of the important concepts in the capital market, beta is generally used to measure the systematic market risk of a security or a portfolio in future. However,estimate of beta is reached with the past data. Unless beta is relatively stable,it cannot be applied to the estimate of the future risk; CHOW Test Approach shows that neither individual security nor portfolio has a stable beta in Shenzhen Stock Exchange in 1995. It means that the market risk in China's stock market is variable and hard to predict.
出处
《厦门大学学报（哲学社会科学版）》
CSSCI
北大核心
1999年第4期62-68,125,共8页
Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)
