本文用Chow检验方法研究了中国A股股票相邻两期的β系数是否稳定的问题。主要的发现有:1.对于个股而言,80%以上股票的β系数在上半年和下半年是稳定的。在扩展检验时期至相邻两年后,股票相邻两期的β系数稳定的概率有所降低,但是仍然高于60%;2.股票组合β系数稳定性的概率超过70%;3.股票组合的β系数在相邻两期稳定的概率与个股并无显著差异,并且,组合中的股票数量与组合的β系数在相邻两期是否稳定的概率并无显著的相关关系。We use Chow test in this paper to check whether China A-share listed firms' β coefficients are stationary in two sequential periods.The main findings are in the following:(1) As for single stock,more than 80 percent of β coefficients of single stocks are stationary in two sequential half years,When extending test periods to two sequential years,the probability that β coefficients are stationary decreases,but is still greater than 0.6.(2)The probability that β coefficients of stock portfolios are stationary exceeds 0.7.(3)The probability that β coefficients of stock portfolios are stationary is not significantly different from that of single stocks,moreover,the size of portfolios is not significantly correlated with the probability that β coefficients of stock portfolios are stationary.国家自然科学基金项目(批准号70273060)资
