| In the famous Capital-Asset Pricing Model (CAPM) developed by William Sharp,etc, beta is a measurement of correlation between the price fluctuations of individual security(or portfolio) and the average price fluctuations of all securities in the market, that is called "systematic risk coefficient". Beta has not only important implications in finance theory, but also widely used in investment practices such asasset pricing, portfolio management and performance valuation. Accordingly, beta hasreceived a great attention from both academics and practitioners.Ever since the CAPM came out, many studies have concentrated on the problems about beta, especially the stability of beta and time-varying beta in well-developed capital markets. From the 70's of twenty centuries to the present, numbers of research outcomes have accumulated in overseas academics. While there are many studies about beta such as beta instability and time-varying beta on developed equity markets, there is little empirical research evidence on these issues on China's stock market, however, many problems still need to be supplemented and probed into. Therefore, this paper intends to explore the issue of beta stationarity, time variation in beta and beta's influential factors in Chinese stock market for the period from January 1997 to December 2002 by sampling 370 stocks from the Shanghai and Shenzhen Stock Exchanges. The objectives of the paper are to investigate the characteristics of systematic risk in China's common stock, to supplement the studies on beta in China and to provide reference for investors and government-policy regulators.This paper is divided into six chapters.In chapter one, the author introduces the framework of this research, which includes the research background, subject and value. The contents and methodology, improvements and initiatives are also outlined within.In chapter two, the author reviews the past research results of the stability of beta, time variability of beta and influential factors on betas overall, focusing on the classic studies.In chapter three, the author studies the stability of beta by using the static estimation results (i.e. market model). Based on the past research results, the author explores several problems about the stability of beta, focusing on the impact of the return interval on the estimation of beta, nonsynchronous trading problem, intra-period beta stability and inter-period beta stability, the effects of beta' magnitude on the stability of beta, beta stationarity in different market tendencies and the regression tendency of beta.In chapter four, the author applies stochastic econometric methods, specifying three types of econometric models to estimate time-varying betas and explores the time-series properties of time-varying betas.In chapter five, the author identifies and evaluates what factors significantly affect an individual stock's beta by applying factor analysis method and multiple regression analysis method. The factors not only include financial variables and market variables, but also include the variables of share structure .In chapter six, the author summarizes the major empirical conclusions and puts forward some suggestions.Through the empirical studies on the issue of static beta stability, the author has the following findings: (1) the estimation of beta will not be invariant to the length of the differencing interval over which the returns of stocks are measured. (2) Most stocks have intra-period stable betas. In general, defensive stocks have more stable systematic risks than that of aggressive stocks in the six estimation periods. (3) Most stocks have inter-period stable betas, that is, most stocks have stable systematic risks from one year to another year. (4) The stability of beta are affected by the magnitude of beta and market tendency. (5) On average, the betas of individual stocks and portfolios have a regression tendency toward the grand mean of unity.The empirical studies on the time-series properties of time-varying betas indicates that (1) t...
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