股票系统风险衡量指标β系数及其测定方法

A Study on β Coefficient of Common Stocks and its Evaluating Method

探讨了普通股票投资中系统风险衡量指标β系数的含义，通过与ＣＡＰＭ模型的对比，阐明β系数的测定方法应以收益率标准差（或协方差）为理论基础。测定了上海证券交易所６种挂牌股票的β值，指出我国上市股票β值主要取决于该股票流通量的大小，而且与政策因素有着密切的关系，体现了收益与风险的对等。

he inherent implications of βcoefficient,which is usually used to measure thesystematic risk of common stocks,is explored.Comparing with CAPM,the author suggests thatthe standard deviation or covariance should be taken as the theoretical basis of the evaluatingmethod of β.The β values of six kinds of listed stocks in Shanghai Security Exchange aremeasured with the method. Finally,in light of the situation of domestic stock market,the authorpoints out that the β value of a common stock mainly depends on its circulation volume and isclosely related to the policy factors,reflecting the equilibrium of gains and risks.