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本文首先回顾了风险度量系数β值的理论脉络和传统意义,进而讨论了股指期货的问世给资本市场可能带来的影响以及期指出现后β值在中国股市的实用价值变化,最后,在β值具有时变性的前提下,本文探讨了未来β值测量研究的方向。本文的结论认为期指的问世对资本市场的影响将是全方位的,因此对β系数的视点也需要相应调整,各种动态模型将更广泛地运用到β系数的测量中。
This paper firstly reviews the theoretical context and the traditional significance of the beta value of the risk measure, and then discusses the possible impact of the introduction of the stock index futures on the capital market and the change of the beta value in the Chinese stock market after the index futures. Finally, On the premise of time-varying values, this paper explores the future direction of β-value measurement. The conclusion of this paper that the advent of the index means that the impact on the capital market will be comprehensive, so the view of the β coefficient needs to be adjusted accordingly. Various dynamic models will be more widely applied to the measurement of the β coefficient.