已实现贝塔值的持久性:西班牙股市的一些证据

G. Caporale, L. Gil‐Alana, M. Martin-Valmayor
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引用次数: 0

摘要

本文考察了西班牙IBEX股票市场指数中市值最高的六家公司在单因素CAPM中的已实现贝塔的随机行为。在2000年1月1日至2018年11月15日期间,使用1年、3年和5年样本,采用分数积分方法估计了它们在每日、每周和每月频率上的持续程度。总的来说,结果表明,实现的贝塔是高度持久的,不表现出均值回归行为。然而,研究结果对频率和时间跨度(观察次数)的选择相当敏感。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the daily, weekly and monthly frequency over the period 1 January 2000 – 15 November 2018 using 1, 3 and 5-year samples. On the whole, the results indicate that the realized betas are highly persistent and do not exhibit mean-reverting behaviour. However, the findings are rather sensitive to the choice of frequency and time span (number of observations).
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