次贷危机以来福建省上市公司系统性风险实证研究

An Empirical Study on the Systemic Risk of the Listed Companies in Fujian Province since Subprime Crisis

以上海证券交易所上市的21家福建公司为研究对象,分别基于2007—2015年的季度、月度和日度数据,计算跨期的区域上市公司贝塔系数。实证分析表明:相对于季度和月度数据所计算的贝塔系数,日波动较大,表明区域经济系统性风险受离散事件的影响较大;季度和月度贝塔系数标准差较小,且具有一定的稳定性,证实系统性风险可衡量。

The study take 21 Fujian companies listed on the Shanghai Stock Exchange as the research object,select data from 2007 to 2015 year,respectively calculated across the region listed company＇s beta coefficient based on quarterly,monthly and daily data and then the results were analyzed. Empirical results indicate that the volatility of the beta coefficient calculated based on daily data is larger relative to the quarterly and monthly data,indicating that the regional economic system risk is affected greatly by discrete event;Standard deviation of the beta coefficient calculated based on the quarterly and monthly data is smaller,and has certain stability,means that systemic risk is measurable.