清华大学学报（自然科学版）2025，Vol.65Issue(1)：1-11,11.DOI:10.16511/j.cnki.qhdxxb.2024.22.038
中国A股房地产板块β系数测算及稳定性判别
Calculation and stability of the β coefficient of China's A-share real estate sector
摘要
Abstract
[Objective]The β coefficient is a critical indicator for stock sector investment,and its stability is essential for making informed future investment decisions based on historical data.The real estate sector,known for its high investment risks and stock fluctuations,plays a crucial role in many investors'portfolios.Although there is a growing body of literature on the β coefficient of the real estate sector,research on its systematic calculation and stability remains limited.This paper analyzes the changes and stability of the β coefficient in the real estate sector,providing valuable insights for investors.[Methods]Through method screening,this paper uses the single index equation to calculate the monthly and annualβcoefficients of the Chinese A-share real estate sector from 2013 to 2022.After confirming data stationarity,daily data are processed through least squares regression analysis to obtain accurate and reliable monthly and annual β coefficients.The stability of the β coefficient is assessed using the Chow test for adjacent calendar months and years,and statistical analysis is conducted on the results.Ultimately,the study includes a comparative analysis between the real estate,financial,and construction sectors to provide a comprehensive understanding of the β coefficient characteristics.[Results]The research results reveal the followings:(1)The monthly and annual meanβ coefficients of the real estate sector are close to but less than 1.Monthly β coefficients show significant variability,while the annual β coefficient initially increases and then decreases.(2)The monthly β coefficient demonstrates stronger stability compared to the annual β coefficient.(3)The trajectories of the βcoefficient in both the real estate and construction sectors are highly similar,with the stability of the β coefficient in the real estate sector being lower than that of the construction sector but higher than that of the financial sector.[Conclusions]There are clear differences in the stability characteristics of the monthly and annual β coefficients in the real estate sector,and these differences vary across different sectors.This paper suggests that the followings:(1)Short-term investors should monitor changes in monthly β coefficients to predict market volatility.(2)For long-term investment decisions based on the real estate sector's β coefficients,timely adjustments should be made according to macroeconomic factors and other variables.(3)When investing across different stock sectors,investors should focus on the volatility relationship among the construction,financial,and the real estate sectors,and adopt appropriate risk hedging strategies to reasonably diversify investment risks.关键词
房地产板块/β系数/单指数方程/稳定性/Chow检验Key words
real estate sector/β coefficient/single index equation/stability/Chow test分类
管理科学引用本文复制引用
张红,毕志军..中国A股房地产板块β系数测算及稳定性判别[J].清华大学学报（自然科学版）,2025,65(1):1-11,11.基金项目
国家自然科学基金项目(71373143) （71373143）
