Study Of Systematic Risks Of Small And Medium-sized Enterprises Board Of Shenzhen Stock Exchange

According to the statistic of the SAIC (State Administration for Industry & Commerce), there are more than 8 million SMEs (Small and Medium sized Enterprises) in Mainland China, including nearly 1000 companies that can go public in the stock market. However, only 38 SMEs listed by the end of 2004. It was the venture that blocked the SMEs to go public. The SMEs faced the same systematic risks, although they had quite diverse situations.We use the Beta coefficient to estimate the systematic risks of the SME Board of Shenzhen Stock Exchange. Then we use the reference of Rosenberg Method to make regressive and correlation analysis by the 12 subdivisions of the Beta, trying to find factors what can affect systematic risks of the SME Board. The chapters of the thesis include:Chapter one is the theoretical fundamental. In this chapter, we introduce the study of securities risks, especially systematic risks. Then we summarize the concept and study of the Beta.In chapter two, we firstly discuss the key points of the thesis, the systematic risks of the SME Board. Then we choose the week-end yield of the 38 SME listed companies as the samples. Therefore, we can use Market Model to estimate the Beta of the 38 stocks from June to December 2004.Chapter three is the output and analysis of the field study. We use regressive and correlation analysis to excavate the potential factors that can influence the Betas estimated by the method in chapter two. At last of the chapter, we divide 38 stocks to 9 industries, and try to find how industry can impact the Beta.Finally, we can draw the conclusion that the Beta can efficiently reflect the systematic risks of the SME Board. Moreover, such factors as P/E, liquidity ratio and ROE can most significantly influence Beta in all ones. Furthermore, we can receive inspires from the paper, for instance, the risk of the portfolio could efficiently be reduced if investors consider the study of the paper. On the other hand, investors should think over the reality and accuracy of the account information.