股票收益波动与Beta系数的时变性

中国管理科学 ›› 2003, Vol. ›› Issue (1): 10-13.

股票收益波动与Beta系数的时变性

赵桂芹

上海财经大学经济学院上海 200083

收稿日期:2002-07-18 修回日期:2002-12-03 出版日期:2003-02-28 发布日期:2012-03-06

The Volatility in Stock Return and the Time-Varying Beta Coefficient

ZHAO Gui-qin

School of Ecomomics, Shanghai University of Finance and Economics, Shanghai 200083, China

Received:2002-07-18 Revised:2002-12-03 Online:2003-02-28 Published:2012-03-06

摘要/Abstract

摘要： 本文利用扩展的S-S模型,对上海股市2000年间的日收益数据进行实证分析,以进一步探讨小公司股票、大公司股票收益波动和市场波动之间的关系。研究结果发现,在市场波动加剧时大公司股票与小公司股票的反应是不同的,小公司的系统风险更易于增大。因此在进行事件研究时,必须考虑到Beta系数的时变性。

关键词: GJR-GARCH模型, Beta系数, S-S模型

Abstract: Using the daily return data in Shanghai stock market during the year 2000,the paper has an empirical test through the extended S-S model,in order to test the relationship between the volatility for little companies or larger companies and the volatility of stock marketThe results show that the reaction for little companies and larger companies is different when the volatility in stock market gets largerTherefore,it is necessary to consider the time-varying Beta coefficient before carrying out the event study.

Key words: GJR-GARCH model, Beta coefficient, S-S model

中图分类号:

F830.9

赵桂芹. 股票收益波动与Beta系数的时变性[J]. 中国管理科学, 2003, (1): 10-13.

ZHAO Gui-qin. The Volatility in Stock Return and the Time-Varying Beta Coefficient[J]. Chinese Journal of Management Science, 2003, (1): 10-13.