Do Betas Vary Differently in Different Industries? The Case of Chinese Stock Market

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Author	Xia Pan, Chun Huangfu, Jiayi Tu, Lei Chen, Yixiang Yu
ISSN	2307-2466
On Pages	332-341
Volume No.	3
Issue No.	7
Issue Date	December 01, 2020
Publishing Date	December 01, 2020
Keywords	Industry beta, Beta stability, China’s stock market, Systematic risk

Abstract

More than twenty years ago, Sharpe and Cooper did extensive research on the theory of stability of betas. We wonder if we can use their similar methodology to test China’s beta stability. In this paper, we will first briefly introduce China’s market condition then, we use Sharpe and Cooper’s methodology and Analysis of Variance to analyze China’s industry betas. We find that the theory of stability of industry betas has its practical meaning in China. Macroeconomic factors greatly affect China’s beta trends and microeconomic factor does not always make a company’s beta fluctuate significantly. The research on stability of beta in China is far from sufficient and we hope this paper can do basic work for this area.

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