Study On The Time-Varying Beta And Its Influencing Financial Indicators Of Different Sectors In SSE 180 Index

Capital Asset Pricing Model(CAPM)is one of the most important models of modem financial theory.The beta coefficient is used to measure the market risk of a risky asset or portfolio,or the sensitivity of an asset's price to a change of the market index.Therefore,the investment manager can select the portfolio with the appropriate beta coefficient based on the judgment on the future market.In the classical model,the beta coefficient is assumed to be constant.and in fact,more and more scholars believe that beta is time-varying.However,there is a wide debate about the measurement method and influencing factors of beta.So far,some scholars have achieved certain results in this field,but they usually use the model of constant correlation coefficient,which is not in accordance with the reality.The samples of this article are 98 stocks from the SSE 180 Index,which are divided into four sectors,and the time interval is 2006-2017.First of all.I calculate the time-varying beta based on the econometric theory(DCC-MGARCH model)and analyze the characteristics of the time-varying beta in different sectors,after that.I use the time-varying beta replacing constant beta to study the relationship between systematic risk and financial indicators of stock.Finally,in allusion to systematic risk,I put forward some suggestions that could be helpful to the supervision department,the company itself,and the investors.In addition,this paper also reviews the past studies about time-varying beta and the relationship between the systematic risk and financial indicators.The results of this paper prove that the beta is instable.In addition,we know that the relationship between the systematic risk and financial indicators is different in different industries by empirical research:for the industry,the real estate industry and consumption sector,the factors which have significant positive influence on the systematic risks are current ratio,the enterprise scale;The factor whose impact on the three industries are different is the inventory turnover rate;The factors don't have significant impact on systematic risk are capital accumulation rate,financial leverage,operating leverage,PE ratio and return on equity.The indicators that have a significant positive impact on the financial industry are the Debt-to-Assets ratio and the enterprise scale.From the time-varying beta coefficient start with,this paper not only improves the method of beta estimation,but also studies the relationship between systematic risk and financial indicators in different sectors for the first time.All these provide a new train of thought and basis for the later research.