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Empirical Study On Some Characters Of β Coefficient Based On China Securities Market Steel And Iron Listed Companies

Posted on:2006-07-24Degree:MasterType:Thesis
Country:ChinaCandidate:J W JingFull Text:PDF
GTID:2156360152970508Subject:Business management
Abstract/Summary:PDF Full Text Request
In modern economical life, risk is a conception which people must pay attention to. This conception is often mentioned especially in securities market in which situation changes constantly. Among many indexes to describe risk conception,beta coefficient is a important parameter and conception, which describe the relationship between asset and market collectivity. It is a important system risk index as it can measure system risk of asset. Due to its simplicity and high precision, beta coefficient is regard seriously by studies in many aspects,such as theory aspect,learning aspect and securities investment practices aspect.This thesis conduct research on the basis of beta coefficient ,which measure market risk. The data for empirical study come from twenty-seven companies of steel board in china securities market This thesis was to inspect the efficiency and character of beta coefficient in china securities market through a certain Industry study. It include four chapters. Chapter one mainly introduce conception and character of and several measuring index systems.Chapter two introduce beta coefficient basic theory , CAPM ,and conclude the character and the utility of beta coefficient. Chapter three have a retroversion of previous production and explain my way of research and make empirical verification simply. Chapter four make empirical study on listed companies of steel board in china securities market, which is the core of thesis.In this chapter tendency of change and stability of beta coefficient is inspected through empirical study. Study product some conclusions. Current beta coefficient is needed to be corrected when it is used to forecast future beta coefficient. The way of amendment is put forward later Simultaneously, notability inspection of iron board beta coefficient is conducted. This chapter also compare the beta coefficient of market index regression to beta coefficient of iron board index regression. Chapter three mainly discuss the current application of beta coefficient and problem when applied. This chapter also put forward suggestions on how to solve these problems, in order to be helpful to improve the way of risk measurement on china securities market.x...
Keywords/Search Tags:risk management, beta coefficient, system risk, CAPM
PDF Full Text Request
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