| 深圳证券市场系统风险分析 |
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| 引用本文： | 王宗军,李志生,崔鑫.深圳证券市场系统风险分析[J].华中科技大学学报(自然科学版),2002,30(8):88-90. |
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| 作者姓名： | 王宗军 李志生 崔鑫 |
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| 作者单位： | 华中科技大学管理学院 |
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| 摘 要： | 基于威廉·夏普的资本资产定价模型 (CAPM) ,运用数理统计的原理和方法 ,对深圳证券市场系统风险大小变化趋势和变化成因进行实证分析 .结果表明 :深圳证券市场系统风险占总风险的比例在总体上呈下降趋势 ,与国外成熟证券市场相比仍明显偏高 ;在市场波动较大的年份系统风险所占的比重较大 ;大盘股系统风险在总风险中所占的比重较小盘股大
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| 关 键 词： | 证券市场 系统网络 样本 相关系数 投资组合 |
| 文章编号： | 1671-4512(2002)08-0088-03 |
| 修稿时间： | 2001年9月2日 |
Calculation and illustration of the tendency of system risk in Shenzhen Security Market |
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| Wang Zongjun Li Zhisheng Cui Xin Prof, College of Management,Huazhong Univ. of Sci. & Tech.,Wuhan ,China..Calculation and illustration of the tendency of system risk in Shenzhen Security Market[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2002,30(8):88-90. |
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| Authors: | Wang Zongjun Li Zhisheng Cui Xin Prof College of Management Huazhong Univ of Sci & Tech Wuhan China |
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| Institution: | Wang Zongjun Li Zhisheng Cui Xin Prof, College of Management,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | The tendency of system risk in Shenzhen security market on the basis of Capital Asset Pricing Model were calculated and illustrated by the use of theory and way of mathematics and statistics. Our research shows that the system risk proportion in total risk proportion in total risk has a downtrend on balances, but the proportion is too large as compared with foreign mellow security market. We also found that the system risk proportion in the year when the security market has a larger wave is larger than the proportion when the security market has a litter wave, and the system risk of large corporation is larger than that of small corporation. |
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| Keywords: | security market system risk sample relative ratio portfolio |
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