行业系统性风险的度量分析

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2、egrowthoffinancialmarketvolatilityandliquidit又PeoPlearePa协ngmoreandmoreatentiontoriskmanagement.AseriesofchangesofriskmeasurementmethodsalsohavetakenPlace，there15nominalvaluemethod，thesensitivitymeasurementmethod，fiuctUationmethod，valueatriskand50on，

3、whileBcoefficientsand、恤Rvaluesareusedthemostwidely.hitheCAPMmodel，Beoefficient15thePortrayalofsystemicrisk，50theresearchtotheBeoeffieientsofthemodel15oneofthefoeusesofthisartlele.玩reeentyears，stUdyofBeoemcientfocusedonstabilityandchangesintheircharac

4、teristiesand50on.Muchoftherese盯chshowsthatBeoefficientofthestockmarketrendersuneertaintiesinthecharaeteristies，theinfluencingfactorsineludetheeeonomiccycle，interestratesandothermacro一levelones，thecomPany，5financialandothermiero一levelones，alsoincludet

5、heeomPany，sindustryandothermeso一levelones.However，beeauseofstringentassumPtionsofthetraditionalCAPMmodel，whenthemodel15describingthetime一va户刃ng乃，therewillbeabiglimitation，wlllchalsobringsaboutacertaindegreeofdi伍cultyongivinganaecuratemeasureofsystemi

6、erisk.Therefore，theaeademiecommunitystartsaseriesofresearehimProvements;theresultsineludedICAPM，CCAPM，LAPM，EPT，andBCAPTand50on.ThesearelongitUdinalstUdiesontheCAPMmodel，andcouldwellexPlainsomeresPectsoftheeconomicPhenomena，butstilltherearetheirowndef

7、ieiencies.Thefocusofhorizontalstudies15toexPloretheBcoeffieientestimationmethods，includi雌recursiveestimation，rollingwindowregression，kalmanfilteringBetamethods，inWhichMichaelD.MckenzieandotherPeoPlehavestudiedtherelationshiPamongtheStudyontheMeasurem

8、entofindus卿’5SystemateiRisk:BasedonTenPromotedlndustriesinChinaAustralianindustrybeta，the·Australianmarketindexandtheworldmarketindex，usingkalmanfilteringmethod.AndtheyPointedoutthattherelationshiPbetweenthedomestiemarketandtheindus甸betawasmorerelate