Analysis Of The Time-Varying Beta In Shanghai Stock Market And Financial Influential Factors Based On DCC-GARCH Model

In the case of the systemic risk of China’s stock market is still at a high proportion,the study on beta which is on behalf of systemic risk is imperative. So far, domesticscholars have been carried out some research and made some theoretical results in thisfield. Through the analysis of domestic and foreign research we found that althoughthere is a part of domestic scholars applied econometric model to estimate beta, butthey generally use the constant correlation coefficient which is proposed by Bollerslevto estimate the correlation coefficient, however the model does not comply with theactual situation of financial markets. On the other hand, research about therelationship between accounting variables and systematic risk is still under theassumption of a constant beta, which is in contradiction with previous studies thatbeta is unstable. Where by the resultant conclusions will be controversial inevitably.Based on the theory of econometrics, this article studies the correlation betweensystemic risk of listed companies and financial indicators, using the DynamicConditional Correlation multivariate GARCH model which is closer to the realmarket situation in the empirical analysis. Instead of a constant beta, the article usestime-varying beta to present the systemic risk of stock and analyzes the relationshipbetween Beta and the financial indicators which represent the basic characteristics ofcompanies. At present, the implementation steps of DCC-GARCH model has notformed a completed system, this article explains the specific steps when estimatingthe time-varying beta by the model and forms a standardized system. In addition,arranging the theoretical models of relationship between systematic risk andaccounting variables according to the chronological order and introducing newvariables as influential factors of systematic risk based on the summary of existingresearch. We prove that Beta which is a measure of risk of assets has instability andstocks are more sensitive to changes in the market. The following conclusions aremade after the multiple linear regression between the time-varying beta and theselected financial indicators: Four indexes have a significant positive impact on thesystem risk represented by the time-varying beta including operating leverage, rate of capital accumulation, firm size and accounts receivable turnover ratio, the currentratio and cash flow ratio have a significant negative impact, the financial leverage andreturn on equity have no significant impact.This article analyzes the impact of financial indicators on systematic risk of listedcompanies which is represented by time-varying beta from the perspective ofinstability of Beta. The study provides a new way of thinking and fills the gaps in thefield of research. It also provides a theoretical guidance to expanding the theoreticalvalue of Beta, improving the information disclosure system of listed companies andthe estimation method of Beta, building the risk reporting system of listed companiesbased on the influential factors of systematic risk.