| The risk of securities investment is composed of the systematic risk and non-systematic risk. The non-systematic risk can be dispersed by securities portfolio, so investors will be more concerned about the systematic risk. The beta coefficient in Capital Asset Pricing Model is just to measure the systematic risk, and it has become an important basis for investment decision-making. Investors can compare the systematic risk of portfolio securities by beta, the greater the value of beta, the greater the systematic risk is. If we could get the next beta coefficients through the historical data, that can give investors a risk reference for their investment.This paper selected on 30 representative typical samples of Shanghai Stock 180, period are to be selected in January 1996 to September 2008, which are divided into six stages. Through the Capital Asset Pricing Model, random combinations of 1-30 kinds of the stock portfolio for the linear regression, so as to arrive at its beta value,and using pre-post test method is expected to be tested. Then analysis of two adjacent time periods the portfolio value of the correlation coefficient beta, come through the Chinese securities market has developed into a more mature market in recent years'integrated governance and institutional reform. By appropriate means, we could pridict the Chinese securities market beta value, which can reflect the degree of systematic risk more precisely in the future. |
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