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本文采用邹至庄间断点检验法和邹至庄预测失效检验法从时序稳定性和预测稳定性两个角度对我国股票市场行业β系数的稳定性进行检验,发现除工程建筑、机械、通信三个行业外,我国股市大部分行业贝塔系数都具有时序稳定性,而所有行业都不具有预测稳定性,并按照时序稳定性和预测不稳定性由高到低的顺序对行业β系数的稳定性情况进行了排序。
In this paper, Zou Zhi Zhuang intermittent point test method and Zouzhi Zhuang prediction failure test method is used to test the stability of beta coefficient of China’s stock market from the perspective of timing stability and predictive stability. It is found that in addition to engineering construction, machinery, communications three For each industry, the beta coefficients of most industries in China’s stock market are time-series stable, and all industries do not have the predictive stability. According to the sequence stability and the forecasting instability from high to low, the β-factor stability of the industry The situation is sorted.