股权分置改革后沪市β系数特征研究金融学专业论文.docxVIP

要随着股权分置改革的基本完成，中国证券市场的基本体制将发生改变， 要 随着股权分置改革的基本完成，中国证券市场的基本体制将发生改变， 这将使得证券市场更加市场化，证券市场系统性风险也会随之改变，系统性 风险参数一13参数的特性也因此改变。论文研究了股权分置改革后上海证券 市场13系数的特性，以便投资界能更有效的利用p系数。同时对比了股权分置 改革前后样本证券的13系数特性，对股权分置改革的效果加以检验。 本文采用了投资学的相关理论对全流通后沪市p系数的稳定性和预测性 作出相应的研究。用单一市场指数法估计出71只样本股的p系数后，采用了 CHOW检验法对个股及其组合做了稳定性检验，结果表明有73．3％的个股通过 了稳定性检验；组合的p系数随着组合样本规模的扩大，稳定性也越来越好。 然后研究了股权分置改革前个股的稳定性，结果显示有96％的个股通过了稳 定性检验。预测性的研究主要是比较了三种预测方法的预测结果的准确度， 结果表明股改前用瓦西塞克修正法好于布鲁姆调整法和历史估计法。而在股 改后则是布鲁姆调整法的预测效果好于其它的两种方法。 关键词：股权分置，p系数，稳定性，预测性， ABSTRACTWith ABSTRACT With the completion of the nontradable shares reform，the basic structure of Chinas securities market will also change，which would lcad to a more market．oriented securities market．This Paper studies the securities whose share reform have been completed for more than one year in Shanghai stock manet to find corresponding D coefficients’characteristics in the full circulation era of Chinas securities market．in order to help US test the reform effects and USe of 13 coefficients more efficiently．At the same time，this paper compares p coefficients’ characteristics after share reform with those before share reform to measure the effort of share reforill． Using corresponding theories of investment，this paper does corresponding study in the fields of 13 coefficients’stability and predictability in Shanghai stock market after full circulation．W．e find that 73．3％of these stocks pass the Stability Test．CHOW test．and they are leSS stable after share reform．With the expansion of combination sample size，portfolio。S 13 coefficients gradually expand．The predictability is to compare the three forecasting methods accuracy．ne results show that Vasicek Amendment Act iS better than Blume Adjustment Act and the historical estimate method before the share reform，and Blume Adjustment Act is best after the share reforill． Key words：nontradable shares，beta coefficient， stability,predictability Ⅱ 原创性声明本人声明，所呈交的学位论文是本人在导师指导下进行的研究工作及取 原创性声明 本人声明，所呈交的学位论文是本人在导师指导下进行的研究工作及取 得的研究成果。