Abstract
This paper selects the daily trading data of foreign trade stocks in China’s Shanghai stock market from January 4, 2012 to June 29, 2018. The β Coefficient of each stock is obtained by regression of the single index model of CAPM theory. Taking the outbreak time of the Sino-US Trade War as a structural mutation point, the Chow test method is used to investigate the stability of the β Coefficients of foreign trade stocks. The conclusion is as follows: the systematic risk of China’s foreign trade listed companies is generally higher than or equal to the market risk level. Most of Chinese foreign trade stocks have stable β Coefficients (accounting for about 73%), and the rest of the stocks’ β Coefficients have undergone structural changes (about 27%) before and after the break-point of the Sino-US Trade War. This means that the Sino-US Trade War has an impact on the expected return model of some Chinese trade-listed companies. In the long run, this effect may expand or spread, and needs to be concerned.
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Cao, W. (2020). The β Coefficient and Chow Stability Test of Chinese Foreign Trade Stocks Under the Sino-US Trade War. In: Xhafa, F., Patnaik, S., Tavana, M. (eds) Advances in Intelligent Systems and Interactive Applications. IISA 2019. Advances in Intelligent Systems and Computing, vol 1084. Springer, Cham. https://doi.org/10.1007/978-3-030-34387-3_28
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DOI: https://doi.org/10.1007/978-3-030-34387-3_28
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