汶川地震与时变BETA——基于行业指数的实证研究

Wenchuan Earthquake and Time-Varying BETA——Empirical Research Based on Industry Index

文章从时变BETA的角度,研究了汶川地震对我国资本市场的影响。基于证监会行业指数,文章首先利用状态空间模型中平滑的方法估计了2003—2011年23个行业的时变BETA,然后通过引入汶川地震及之后的时间段作为哑变量构建回归方程,用于研究汶川地震对行业指数时变BETA的影响。研究发现,汶川地震对于各行业指数的时变BETA都有显著影响,但是影响的途径、大小和方向在各行业间存在差异。

This paper researches Wenchuan earthquake effect on the China＇s capital market from the per- spective of time-varying BETA. Based on SFC industry index, the paper first uses State-Space model Smoothing method to estimate 23 industry time-varying BETA of 2003-2011, then introduces the period of time after the Wenchuan earthquake as dummy variable to built regression equation to research the effect of Wenchuan earthquake on the industry index time-varying BETA. We find that Wenchuan earthquake has a significant impact on the industry index time-varying BETA, but the impact pathway, the size and direc- tion have differences between industries.