摘要
β系数是现代资本资产定价模型理论研究的热点之一,在新的理论框架下对β系数进行分解,利用二次协变差方法对上海股票市场的β系数进行深入探讨.通过非参数一致估计量分别估计了上海股票市场的系统扩散风险和系统跳跃风险,并对其中30只股票的月扩散风险系数和月跳跃风险系数进行了统计分析.研究表明:上海A股市场的系统扩散风险系数和系统跳跃风险系数存在明显差异,并且系统扩散风险系数普遍大于系统跳跃风险系数.
The beta coefficient is one of the most active problems in the research of CAPM （capital asset pricing model） theory. The betas were disentangled under a new theoretical framework and the betas of Shanghai stock market were discussed by use of the method of quadratic covariance. Then, the systematic diffusive and jump risks were estimated by nonparametric consistent estimators. Mter the empirical analysis of new procedures for thirty individual stocks, it is found that the estimated monthly diffusive betas with respect to the Shanghai composite index （SCI） differ significantly from the jump betas for the sampled stocks and the diffusive betas in this market are numerically greater than the jump betas.
出处
《上海理工大学学报》
CAS
北大核心
2012年第4期381-388,共8页
Journal of University of Shanghai For Science and Technology
基金
国家自然科学基金资助项目(11171221)
关键词
系统风险
跳跃风险
二次协变差
systematic risk； jump risk； quadratic covariance；
