股票投资中的系统性风险β系数研究--基于中美两国股票市场价格数据

Study onβCoefficient of Stock Market's System Risk in Stock Investment——Based on Chinese & the U.S. Stock Market Price Data

论文采用不同时段、不同数据频度、不同市场指数的数据对单只股票的系统性风险进行了全面衡量,投资者在测算股票的系统风险时,应选择与该股票关联度较高的市场指数,并选择近期的市场指数数据作为标准,经回归发现,股票的β系数会因选择周期的不同而存在较大差异,投资者在分析系统风险时,应综合考虑市场指数对该股票价格波动的解释力度,而不应片面采用β系数,某些股票的β系数虽然较低,但因其风险中有较大部分并非来自市场,故其股性反而会非常活跃,论文最后提出用调整后的β系数,即综合考虑方程解释力度的β系数,作为衡量股票系统性风险的有效指标。

This paper adopt the data of different period, frequency and market index to fully measure stock＇s system risk. When investor calculate stock＇s system risk, he should select market index which is closely related to this stock, and select the data near to the analysis period, the β coefficient will be more difference along with the fixed period, when investor analyzes system risk, he should comprehensive consider explanatory power of market index, other than one-sided adopt β coefficient. Although some stock＇s system β coefficient will be lower, but its nature maybe very actively, because its risk come from independent risk mostly. This paper propose an adjusted β coefficient which can measure more correctly about stock＇s system risk.