The Study Of The Impact Of Listing Bankas Basic Characteristics On The Coefficient Beta

As a special industry that manages risks,how to accurately measure and control risk becomes an important topic on financial industry.Since the Captial Asset Princing Model was proposed by William Sharpe,the Beta in this model,which measures the reaction of the stock's return rate to the return rate of the market,has been widely used by investors,as an indicator to measure the systemic risk of the stock.As an indispensable part of financial system,commercial bank plays a crucial role in the process of China's economic development.So it's ponderable to do researches on what the Beta of the stock is and which factors influence it in commercial banks.Former studies showed that industry characteristics,macroeconomic and company characteristics are main influential factors,and the most influential factor is company characteristic.Former researches on the influential factors of the company characteristics usually use multiple regression.But the problems are that this method only measures the single characteristic's influence on the Beta coefficient,not the whole influence of the company characteristics on Beta coefficient and the model is not well-fitted.The purpose of this article is to calculate the Beta coefficients of the stock-listed banks in China by using the Capital Asset Pricing Model and study the whole influence of the company's basic characteristics on Beta coefficient.There are two parts in this paper,and one is to calculate the annual Beta coefficients of the 16 stock-listed banks from 2013 to 2017.The result finds that the Beta coefficients of banks are around 1,which indicates that the systematic risk is not high.We found that the Beta coefficients of state-owned commercial banks are low,when comparing with other joint-stock commercial banks.The other part is to quantify the influence of the characteristics of the company by using 19 indicators which can represent the basic characteristics of those banks.Owing to the correlation between those factors,the study chooses the factor analysis.Using factor analysis,the initial 19 variables are extracted and then the study uses the main factor and Beta coefficient to do regression analysis.The result showed that the degree influence of the 19 factors explained the Beta well.The weakness of this paper are that this study didn't calculate the influence of company characteristics on the single bank owing to lacking stock information and financial statements and not verify whether capital asset pricing model is applicable to Chinese stock market.Compared with the result of the study,the idea and method are more important.