贝塔会随着信息变化吗?——基于中国股票套期保值失效问题研究

Does Beta Vary with Information?——Based on the Hedging Ineffectiveness of Chinese Stock

采用中证800样本股2009~2014年数据,从信息融入角度研究因贝塔变化而致套期保值失效的问题。结果表明中国股市贝塔会随着公司信息的释放发生变化。信息发布前,贝塔会显著低于正常水平;信息发布当日贝塔会下降至最低点;信息发布3~4天后,贝塔回复至正常水平。利空信息比利好信息对贝塔的影响显著。若提高市场透明度会减少利空信息对贝塔的冲击。当所处信息环境的意见分歧较大时,与市场同步性高的股票贝塔变化也较大。本研究对于投资者制定套期保值策略具有一定的借鉴意义,对管理者规范信息披露行为、监管者完善信息披露机制提供必要参考,对于促进资本市场稳定发展具有现实意义。

Using the sample stocks that are constituents of the CSI 800 index at earning announcement between 2010 and2014,we make beta the point of penetration to research on the ineffectiveness of hedging resulting from the changing of beta from the perspective of information fusion.We find that betas,i.e.hedge ratio move with the release of firm-specific news.Five days before earning announcement betas decrease to the levels which are lower than usual levels.Betas decrease to the bottom on earning announcement and revert to their average levels three to four days later.The negative news has greater significance on betas than the positive news.If we improve market transparency,information can be integrated to market gradually and absorbed into stock price smoothly.In addition,when information environment is full of uncertainty or disagreement,the betas of large cap stock vary greatly.Our research has many implications for inventors to implement hedging strategies and also provide reference for managers to standardize the behavior of information disclosure and for regulators to improve the mechanism of information disclosure.It can promote the smooth operation of capital markets.