中国证券市场中Beta系数的存在性及其相关特性研究

Study on the Existence of Beta Coefficient and Its RelatedCharacteristic in Securities Market

本文认为,中国证券市场存在资本资产定价模型中描述的Beta系数,本文发现,使用不同市场收益率的算法计算出来的Beta系数有着显著的差异。因此,存在以不同的方法计算得到的Beta系数,在相同的研究过程中得出不相同的结果的情况可能会出现。本文的研究结果证实了这样一个事实:在中国证券市场,至少是在本文研究的时间区间段,CAPM模型是成立的。本文还发现,中国证券市场中Beta系数并不存在显著的行业差异,但是在按照是否被纳入计算成份类指数的标准将股票进行分类,即分为成份股和非成份股,这两大类股票的Beta系数存在显著的差异;本文还发现,在中国证券市场中,几乎不存在支持资本资产定价模型中的无风险收益率的参数。

We argue that there exists Beta coefficient of CAPM modelin Chinese securities market. We find that there exist significant Betacoefficient differences between different market return methods;therefore, it is possible that there will exist different results usingdifferent methods in same study. This paper also finds that CAPMmodel is tenable at least in the period of this research section. Wefind that industry difference of Beta coefficient hardly exists exceptfor the difference between Composite Sub-index and Non-CompositeSub-index; finally, we find that there almost hardly exists theparameter of risk-free of CAPM model in Chinese securities market.