大陆A股与台湾股票市场系统风险的实证分析

The performance and measurement of the system risk (β) in China A-share and Taiwan Residents stock market

两岸电子类股为研究标的,通过两岸电子类股系统风险(β)差异的比较,表明两岸三个交易所电子股系统风险值之分配有显著差异;电子股报酬率的分配没有显著差异;系统风险值平均等级以台湾电子股最高,上海电子股A股最低,上海电子股A股报酬率平均等级最高。

This research examines the risk effects of the electronics stock market between China A-share and Taiwan stock market, investigating the system risks of electronics stock fluctuate with market return and the distribution between these. After the empirical analysis, we find that the distributions of the electronics stock in Shanghai A-share, Shenzhen A-share and Taiwan have significant differences. However, the electronics stock correlation of market return is not significant. The average level of system risks in Taiwan is the highest, and Shanghai A-share is the lowest. But the average level of market return of Shanghai A-share is the highest level.