摘要
从两个方面研究中国股票市场行业风险结构,首先是利用分解法将股票市场行业整体平均风险分解为系统风险和非系统风险;其次是利用CAPM模型计算单个行业的风险组成。主要结论有:在样本期间,系统风险占行业平均风险的比例超过了70%,系统风险随时间呈现下降趋势,但行业非系统风险不存在明显的时间趋势;不同行业的风险构成存在很大差异。
This paper examines the industry＇s risk structure in China stock market from two aspects. Firstly ,a disaggregated approach is used to study the average risk of industry at the market and industry levels. Then CAPM models are used to study the risk of different industries at the market and industry levels. Our main findings can be summarized as follows： Over the period from 1995 to 2005, the market level risk is above 70% of the average risk of industry. There has been a noticeable decrease in market level risk, but industry risk has not a time trend. The risk structure is different in different industries.
出处
《系统工程》
CSCD
北大核心
2007年第12期53-57,共5页
Systems Engineering
基金
上海市教育委员会科研创新项目(08YS78)
关键词
股票市场
行业
风险结构
Stock Market
Industry
Risk Structure
