周佰成,侯丹,邵振文.基于鞅理论的动态下行β系数研究[J].数量经济技术经济研究,2018,(7):146-160 |
基于鞅理论的动态下行β系数研究 |
Research on the Dynamic Downside Beta Coefficient Based on Martingale Theory |
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DOI: |
中文关键词: β系数 鞅理论 SD EWMA 资本市场 |
英文关键词: Beta Coefficient Martingale Theory SD EWMA Capital Market |
基金项目: |
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中文摘要: |
研究目标:增加β系数对我国系统性风险测量的有效性。研究方法:将鞅理论引入下行β系数计算中,并采用基于记分函数的指数加权移动平均法(SD EWMA)对该下行β系数的时变路径进行估计。研究发现:与传统β系数以及其他下行β系数相比,基于鞅理论的动态下行β系数可以更加显著地解释我国2001~2016年行业组合收益率的变动;在时变路径估计方法上,使用SD EWMA估计的下行β系数对收益率的解释能力更优。研究创新:将鞅理论引入下行β计算;将SD EWMA应用于β系数时变路径估计。研究价值:提高了对系统性风险测量的准确性,为资本市场投资者与管理者提供了风险测度的新方法。 |
英文摘要: |
Research Objectives: To improve the efficiency of the beta coefficient which is used to measure systematic risk Research Methods: We introduce martingale theory into the calculation of the downside beta coefficient and then we adopt the score driven exponentially weighted moving average (SD EWMA) model to estimate the time varying path of the new beta coefficient Research Findings: Compared to the traditional and other downside beta coefficients, the time varying beta coefficients based on martingale theory are more significant for the 2001~2016 industry portfolio returns in China Research Innovations: We propose a new beta coefficient based on martingale theory and apply SD EWMA model to estimate the time varying beta coefficient Research Value: To improve the accuracy of measuring systematic risk and it offers the investors and regulators a new way to manage risk |
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