基于鞅理论的动态下行β系数研究

Research on the Dynamic Downside Beta Coefficient Based on Martingale Theory

研究目标:增加β系数对我国系统性风险测量的有效性。研究方法:将鞅理论引入下行β系数计算中,并采用基于记分函数的指数加权移动平均法(SD-EWMA)对该下行β系数的时变路径进行估计。研究发现:与传统β系数以及其他下行β系数相比,基于鞅理论的动态下行β系数可以更加显著地解释我国2001～2016年行业组合收益率的变动;在时变路径估计方法上,使用SD-EWMA估计的下行β系数对收益率的解释能力更优。研究创新:将鞅理论引入下行β计算;将SD-EWMA应用于β系数时变路径估计。研究价值:提高了对系统性风险测量的准确性,为资本市场投资者与管理者提供了风险测度的新方法。

Research Objectives:To improve the efficiency of the beta coefficient which is used to measure systematic riskResearch Methods:We introduce martingale theory into the calculation of the downside beta coefficient and then we adopt the scoredriven exponentially weighted moving average(SDEWMA)model to estimate the timevarying path of the new beta coefficientResearch Findings:Compared to the traditional and other downside beta coefficients,the timevarying beta coefficients based on martingale theory are more significant for the 2001~2016 industry portfolio returns in ChinaResearch Innovations:We propose a new beta coefficient based on martingale theory and apply SDEWMA model to estimate the timevarying beta coefficientResearch Value:To improve the accuracy of measuring systematic risk and it offers the investors and regulators a new way to manage risk.