分析中国石化日均收益率，日均波动率与β系数

1、下载数据

global path "c:\cnstock\beta"

cd $path

cap mkdir out

global out  "$path\out"

ssc install cntrade,replace

cntrade 600028

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2、处理数据

use "600028.dta",clear

drop in 1/3195

keep in 1/732

save "600028.dta",replace

cntrade 000001, index

drop in 1/5881

keep in 1/732

save "000001.dta",replace

use "000001.dta", clear

merge 1:1 date using "600028.dta", nogen force

gen year = year(date)

rename rmt ret_mkt

rename rit ret_stk

order date year index* stk* ret*

save "merge_600028.dta", replace

以上操作是为了保留股票与指数2015-2017年数据并合并以便接下来的操作。

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3、进行分析

use "merge_600028.dta",clear

foreach i in "2015" "2016" "2017"{

ameans ret_stk if year==`i'

}

求日均收益率，得到结果

image

bys year:egen sd=sd(ret_stk)

求日均波动率

foreach i in "2015" "2016" "2017"{

reg ret_stk ret_mkt if year==`i'

aaplot ret_stk ret_mkt if e(sample), xline(0,lp(dash) lc(red)) ///

        yline(0,lp(dash) lc(red)) msize(*0.6) /// 

        title("中国石化 (600028) 的 Beta 系数, `i'") ///

        xtitle("市场指数收益率(上综指)")

graph export "$out\aaplot_600028_`i'.png", replace

}

进行回归求β系数并画图，得到

image image image