The Empirical Study On The Beta Coefficient Of Home Appliance Industry In China

Home appliance industry in China's traditional industries occup ies a very important position,maintaining our country's home appliance industry continued strong development has great significances.As a result,We need grasp risks that domestic industry is facing,of which,the systemic risk of appliances industry,is worthy of an in-depth study of the important content.This paper is based on syste mic risk measurement standard beta coefficient of the traditional capital asset pricing model to carry out research.First of all,this paper chooses the daily trading data of ten representative household electrical appliances in Shanghai and Shenzhen,and calculates the excess returns and market returns of the Shanghai and Shenzhen household electrical appliance stock portfolios respectively.A stable constant is used to estimate the beta coefficient by using the rolling regression model,and the beta coefficient of the home appliance stock portfolio in Shanghai and Shenzhen is analyzed from three different perspectives:time limit,stock market environment and stock market development trend.The results show that C hina's Shanghai and Shenzhen stock market portfolio of beta coefficient in the entire time domain on the trend is roughly the same,but the Shenzhen market than the Shanghai ma rket volatility range is small,that is,Shenzhen market,home appliance stock portfolio yield on the market portfolio yield changes The degree of sensitivity than the Shanghai market is more stable.In the second step,we assume that the beta coefficient is a coefficient of random walk over time.The state space model is used to estimate the beta coefficient by Kalman filter and compared with the effect of the two models.The results show that the dynamic CAPM model is approriate,especially in the period whe n the yield fluctuates greatly.In the third step,the stability of beta coefficient time series in Shanghai and Shenzhen market is analyzed.The R/S analysis and ARFIMA(p,d,q)model prove that the beta coefficients have long memory characteristics.The results show that the time series of beta coefficient in Shanghai and Shenzhen has "Granger reason".The results show that the time series of home appliance stock portfolio in Shanghai and Shenzhen ha ve long memory characteristics,and this long memory significantly increases the value of Granger causality test,and strengthens the short term explanatory ability between the stock portfolio beta of Shanghai and Shenzhen in electrical appliances.In this paper,the stability and time variability of the beta coefficient of home appliance stock portfolio in Shanghai and Shenzhen are studied from the empirical point of view,and the long memory feature of beta coefficient time series is tested,which opens a good direction for the study of beta coefficient.