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以股票市场行业指数及相关经济变量月度数据为样本,选取经济增长率、通货膨胀率、汇率变化率、货币供给增长率、利率期限结构以及石油价格变化率作为门限变量,构建门限CAPM模型,以检验在不同宏观经济环境下,中国股票市场行业板块系统风险β系数是否表现出时变特征。实证结果发现,中国股市确实存在非线性动态系统风险;与线性CAPM模型相比,门限CAPM能够较充分描述中国股票行业收益率特征且具有较佳的预测能力。
Taking the monthly data of the stock market index and related economic variables as samples, the threshold CAPM model is constructed by taking the growth rate of the economy, the inflation rate, the rate of exchange rate change, the money supply rate, the term structure of the interest rate and the rate of change of oil prices as the thresholds To test whether the β-coefficient of systematic risk in the Chinese stock market shows time-varying characteristics under different macroeconomic conditions. The empirical results show that there is indeed a nonlinear dynamic system risk in China’s stock market. Compared with the linear CAPM model, the threshold CAPM can more fully describe the yield characteristics of Chinese stock industry and have better forecasting ability.