汶川地震与时变BETA——基于行业指数的实证研究

英文篇名：Wenchuan Earthquake and Time-Varying BETA——Empirical Research Based on Industry Index
中文刊名：西安财经学院学报
英文刊名：Journal of Xi'an University of Finance and Economics
作者：杨军战
英文作者：YANG Jun-zhan(School of Business ; East China University of Political Science and Law ; Shanghai 201620 ; China)
中文关键词：条件CAPM ; 时变BETA ; 状态空间平滑 ; 汶川地震 ; 行业指数
英文关键词：conditional CAPM ; time-varying BETA ; State-Space Smoothing ; Wenchuan earthquake ; the industry index
出版日期：2013-07-08
机构：华东政法大学商学院;
年：2013
期：04
出版单位：西安财经学院学报

摘要

文章从时变BETA的角度,研究了汶川地震对我国资本市场的影响。基于证监会行业指数,文章首先利用状态空间模型中平滑的方法估计了2003—2011年23个行业的时变BETA,然后通过引入汶川地震及之后的时间段作为哑变量构建回归方程,用于研究汶川地震对行业指数时变BETA的影响。研究发现,汶川地震对于各行业指数的时变BETA都有显著影响,但是影响的途径、大小和方向在各行业间存在差异。
This paper researches Wenchuan earthquake effect on the China’s capital market from the perspective of time-varying BETA.Based on SFC industry index,the paper first uses State-Space model Smoothing method to estimate 23industry time-varying BETA of 2003-2011,then introduces the period of time after the Wenchuan earthquake as dummy variable to built regression equation to research the effect of Wenchuan earthquake on the industry index time-varying BETA.We find that Wenchuan earthquake has a significant impact on the industry index time-varying BETA,but the impact pathway,the size and direction have differences between industries.

引文

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