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A Empirical Study on the Influence of China’s Macro Economic Variables to Beta

Author: LiTao
Tutor: NieZhiYi
School: Southwest University of Political Science
Course: Business management
Keywords: beta macroeconomic variables stock market correlation
CLC: F123.16
Type: Master's thesis
Year: 2012
Downloads: 25
Quote: 0
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According to the theory of capital asset pricing model, full portfolio cancompletely avoid non-systemic risk, if there is no systemic risk, the full portfolio ofassets income rate should be equal to the market rate of return. In the practice ofinvestment, the risk for systemic effects are inevitable, beta is a measurement ofcorrelation between the price fluctuations of individual security and the average pricefluctuations of all securities in the market, as a measure of the capital market systemrisk index. This paper summarizes the predecessor to the beta of research results,combined with the domestic stock market and the development status of domesticresearch on this issue, select the macro economic factors, to study the effects and theinfluence degree to beta.Based on the existing research literature review, found that beta as a measure ofcapital market systemic risk is the important index, is the hotspot problem, research isthe focus of the beta of stability, time-varying characteristics and influence factor.Some research indicated that, for a single asset, beta does not have stability, still needfrom the root of the systemic risk factors to study the effects of beta. This paper firstlyresearches on systematic risks caused by the effects of macro economic variableswhich, according to research needs and data accessibility to select the macroeconomic variables, based on the theoretical knowledge and literature analysis,. Thenbased on the existing theory of descriptive statistical analysis, qualitative studiesmacroeconomic variables on beta. After using representative samples of beta, selectsmacroeconomic variables related to analysis and time series analysis, the analysisresults and the theoretical analysis results are consistent, and in the face of Chinastock market macroeconomic layer facing the systematic risk is discussed.The study results shows, based on the currently available data collected samplesfor analysis, China’s macro economic variables on the beta of impact is not significant,but can be found in macro-economy increased mobility of the stock market’ssystematic risk, shows that China stock market investor psychology is still not mature,more speculative, capital market still needs further standardization.

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CLC: > Economic > The world economic profiles,economic history,economic geography > China's economy > National economic plan and its management > Program Management > Macroeconomic management
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