Study And Empirical Analyse On β Coefficient Of The Steel Stock Based On China Securities Market

Influenced by economic globalization, finance integration, competition and relaxation control and so on factor, specially in 1997 rolled up like a mat Southeast Asia's financial crisis ,caused the financial risk to receive the unprecedented attention. In many risk indexes,βcoefficient as the important concept and the parameter related with the asset and the whole market can measure the systematical risk which the capital market has, simultaneously because of its perspicuity theorization, as well as in the asset management and the investment choice vital function, causes it is paid attention in the theory and the practice.In this article, the study is done aroundβcoefficient measuring systematical risk index.Thedata being used in empirical analysis originates in China securities market steel listed 13 companieshave the complete data, and analyzed stability and difference ofβcoefficient by Usingregression analysis, descriptive statistics, Willconxon non-parameter supposition examination,variance analysis and so on. The major conclusions is:①The measure time limit of earningratio and market index substitution quantity have no marked influence toβcoefficient;②The majorityβcoefficient in sample stock is unstabitily;③βcoefficients of samplestock have marked regression tendency toward one;④The average systematical risk ofsample stock in studying time interval descends apparently compare with the averagesystematical risk by SHI DONG HUI counting in 1993-1996, namely,the effectiveness of thesecurity market has remarkable improvement, the management.