我国股票市场贝塔系数的稳定性检验

贝塔系数是用于衡量证券市场系统风险的一个重要概念。通过对贝塔系数的估计，投资者可以预测证券未来的市场风险。但是，贝塔系数必须要用过去的数据来估计。所以，除非贝塔系数具有相对的稳定性，否则，它就无法作为证券市场未来系统风险性的无偏差估计。利用ＣＨＯＷ 检验方法对深圳交易所交易数据进行实证分析，结果表明，在我国证券市场上，无论是单个股票还是股票组合，贝塔系数都不具稳定性。这说明目前我国证券市场的市场风险是变动不定和难以预测的。

The Test of the Stability of Beta in China's Stock Market

As one of the important concepts in the capital market, beta is generally used to measure the systematic market risk of a security or a portfolio in future. However,estimate of beta is reached with the past data. Unless beta is relatively stable,it cannot be applied to the estimate of the future risk; CHOW Test Approach shows that neither individual security nor portfolio has a stable beta in Shenzhen Stock Exchange in 1995. It means that the market risk in China's stock market is variable and hard to predict.