Study On The β Value Of Shanghai Stock Market

Now our country lacks to explain the theories of the stock risk,so I choose the β coefficient as the research topic.Therefore, this article takes the CAPM theorie as the foundation to carry on the substantial evidence research and analysises to the stock market system risk of Shanghai.This text carries on statisticsing the examination to the β of a common stock of Shanghai value in order to bag the certificate CAPM model in the applicability of the Chinese stock market.Expect the conclusion to draw lessons from the function to the investor also.The contents include:the stability of the β value, the relation between the stock system risk and the stock income, the profession characteristics of the β value and rise with big city relation etc.The substantial evidence research part main adopting the time sequence and horizontal pieces face of minimum two multiplications of line return.Make selection the risk ~ income relation in time segment to carry on statisticsing the examination analysis to the stock market.The line of time sequence mainly return to return estimate of of being apply in the stock β value, and the examination of the risk and the income relation then uses the horizontal piece method that faces to return to return.The article looked back to the financial theoretical development history of modern western society.Mainly discussed the capital property combination theories and the p coefficient theorieses, and tallied up the theories of CAPM in the west fulfillment examination circumstance of the more flourishing capital market and Chinese stock marketThen select the A stock market of Shanghai as research object, and the sample period to select is from 1998 to December 31 in 2003 on January 1, total 60 months.This article uses the substantial evidence analysis as a lord,the theories analysis as assist. I carried on the examination to the risk condition and the p coefficient of the stock market of Shanghai, and got the conclusion of supporting the CAPM model.