Shanghai Stock Market Beta Coefficient

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 as asset pricing, portfolio management and performance valuation. Accordingly, beta has received 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 and beta's influential factors in Shanghai stock market for the period from January 1999 to December 2004 by sampling 30 stocks from the Shanghai Stock Exchanges. The objectives of the paper are to investigate the characteristics of systematic risk in Shanghai's common stock, to supplement the studies on beta in China and to provide reference for investors and government-policy regulators.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. (3)...