Study On The Influencing Factors Of Beta Coefficient In The GEM

Firstly, this paper selects36stocks listed on GEM as the study samples. Due to the short time of GEM’s launch, we selected the daily rate of return as independent variable and the GEM index as dependent variable to enlarge sample size. And the time period was from September2010to June2012. We selected the market model to estimate the beta coefficients after comparing the CAPM with the market model. Among those estimated beta coefficients, are we can see they are almost in line with the actual situation. The maximum is only1.222and the minimum0.75. All the values are distributed around1and the predicted beta coefficient of GEM is only1.02175.Secondly, we studied the differences of the beta coefficients, which is to study the causes to the differences to find out related factors. In previous studies, the influencing factors are divided into three categories:industry factors, macroeconomic factors and the company’s micro factors. This paper is to research the influence of the company’s micro factors on the beta coefficient, that is. the influence of the accounting indicators on the beta coefficient. We selected12accounting indicators, and then made a regression analysis of the beta coefficient and12indicators. We analyzed the impact of the indicators on the beta coefficient according to the results.Seen from the results, in the multiple linear regression analysis,7variables significantly affect the beta coefficient on a10%significance level. There are six indicators having a positive impact on the beta coefficient, and six having a negative impact among the estimated coefficients.As innovation of this paper, firstly, when we used the market model to estimate the beta coefficient, the author found that the domestic study mainly used the Shanghai Composite Index, the Shenzhen Composite Index or the average of the former two as the independent variables from his reading, but no one used the GEM index. Therefore, the author tried using the GEM index as the independent variable of market model, which can be regarded an innovative point.Secondly, during the selection of the accounting variables, having combined the previous studies, the author selected10accounting variables which represented8aspects including profitability of the company etc. and then added new indicators which the predecessors had not involved:owner’s equity ratio and total profit growth rate. We can say this is another innovation point. And seen from the empirical conclusions, the owner’s equity ratio has an obvious impact on the beta coefficient.Due to the short time of launch of GEM, the previous studies of the GEM are mainly about the policy proposals, but there are few GEM empirical studies, especially study on the systematic risk of the GEM. Therefore, we study the GEM through the estimation of the beta coefficient and analysis of the impact factors, which can be said to be filling gap of the theory, has a strong theoretical significance and use value, and is a strong reference for the investors and the company.