摘要
本文通过实证研究发现了一种能够反映股价偏离大盘的指标——贝塔系数。当操纵者持有相当多的股份时,总是试图通过交易影响股价走势,股价涨跌受大盘涨跌的影响相对较小,从而导致低贝塔系数现象。低贝塔系数期间个股市场表现好于大盘,从低贝塔系数恢复到正常过程中差于大盘,展示了从控盘到大幅减持期间股价和贝塔系数的协同变化关系。
It is found out that Beta coefficient reflects deviation of stockprice from market index. The manipulators try to influence the stockprice movement by trading if they hold main chunk of shares and in thiscase market index movement has little effect on stock price movement,causing the Beta coefficient low. When Beta coefficient is low, stock priceperformance is better than market index. However when the Betacoefficient goes to normal, the stock price performance falls behindmarket index, reflecting the synchronization effect of stock price and theBeta coefficient.
出处
《证券市场导报》
北大核心
2004年第12期32-35,共4页
Securities Market Herald
