上证市场β系数稳定性的实证研究

β系数是测度投资对象系统风险的重要指标 ,但其有效前提是β系数必须具有时序稳定性和预测稳定性。我们利用邹至庄间断点检验和邹至庄预测失败检验对上海证券市场中的样本股票及构造的证券组合的β系数稳定性进行分析 ,结果表明 :多数个股的 β系数具有时序稳定性 ,大多数个股和证券组合的 β系数具有预测稳定性 ,但与个股相比 ,证券组合的β系数稳定性并没有显著提高 ;随着规模的扩大 ,证券组合的β系数稳定性没有显著提高 ,反而有所下降。

Positive Research on β-Coefficient Stability in Shanghai Security Market

β-coefficient is important in measuring the systematic risks of investment But it must be of stability in time series and prediction β-coefficient stability in time series and prediction in Shanghai Security Market is tested by means of Chow breakpoint test and Chow predictive failure test The results indicate that most β-coefficients of individual stocks are stable in time series, most β-coefficients of individual stocks and stock portfolio are stable in prediction; but in general, β-coefficient of stock portfolio is not as stable as that of individual stocks The more the number of stock in a portfolio, the more unstable β-coefficient of a stock portfolio