我国股市行业时变β系数研究

本文主要考察了我国股市13个行业的β系数及信息的影响。研究发现市场信息和行业信息对β系数都有影响,但影响的方向和大小因行业而异。进而对这些行业的β系数的信息非对称效应产生原因进行考察。仅有部分行业的β系数的信息非对称效应可由市场利空消息或行业利空消息解释。

Time-varying Betas in Chinese Stock Market:Industry Effect

This paper studies on time-varying beta. U-sing Chinese industry data, this paper divides the shocks on portfolio into market shock and industry shock, it finds that these two shocks do affect beta and not all portfolio beta has the property of asymmetry. Through further research on the cause of asymmetry response, only minority of the 13 industry beta can be explained by negative market return or negative industry return.