| 用ADF方法检验中国A股β系数的平稳性 | |
| 赵景文 ; ZHAO Jing-wen | |
| 2010-06-07 ; 2010-06-07 | |
| 关键词 | β系数 平稳性 ADF检验 β coefficients Stationarity ADF test F832.51 |
| 其他题名 | An Empirical Research on Stationarity of China A-share Listed Firms'β Coefficients |
| 中文摘要 | 本文用ADF检验方法研究了中国A股β系数的平稳性问题。主要的发现有:1.对于个股而言,有很大部分股票的β系数是不平稳的;估计期越长,个股β系数序列不平稳的概率越大。2.资产组合的β系数的平稳性要高于个股,并且,组合中的股票数量越多,组合β系数平稳的概率越大。; We use ADF test in this paper to check whether China A-share listed firms'β coefficients are stationary. The main findings are in the following: (1)As for single stock, quite a lot of β coefficients of single stocks are not stationary, and the probability that β coefficients of single stocks are not stationary is increasing in the estimation period of β. (2) The probability that βcoefficients of stock portfolios are stationary is much higher than those of single stocks. Moreover, the probability that β coefficients of portfolios are stationary is increasing in the stock numbers of portfolios.; 本研究得到国家自然科学基金项目(70273060)资助。 |
| 语种 | 中文 ; 中文 |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/39774]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | 赵景文,ZHAO Jing-wen. 用ADF方法检验中国A股β系数的平稳性[J],2010, 2010. |
| APA | 赵景文,&ZHAO Jing-wen.(2010).用ADF方法检验中国A股β系数的平稳性.. |
| MLA | 赵景文,et al."用ADF方法检验中国A股β系数的平稳性".(2010). |
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