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安潤泰,安勝轍 嶺南大學校社會科學硏究所 1984 社會科學硏究 Vol.4 No.2
1.Introduction In the Capital Asset Pricing Model(CAPM), the equilibrium expected rate of return of a stock is related to its beta coefficient which is an index of the systematic risk. The beta coefficient of the market model has gained wide acceptance as a relevant measure of risk in portfolio and security analysis. In a static equilibrium framework, there is no theoretical support for the proposition that beta coefficients are stationary over time. But, the introduction of beta coefficient loses its reliability because of actual nonstationary of beta. The purpose of this study is to analyze and introduce some studies on the stationarity of beta coefficient and to apply them the Korean Security Market. 2.Capital Market Equilibrium Theory Capital market theory is a theory concerned with equilibrium condition. The capital market line(CML) represents the equilibrium conditions prevailing in the market for all efficient portfolios, risky and risk-free. The equation of CML is given by the following equation ?? Capital Asset Pricing Model(CAPM)is derived from CML. If the capital market is in equilibrium, the relationships between expected rate of return and systematic risk of portfolios and individual assets are expressed by the following equation. ?? Thus, the CAPM implies an expected risk-return relationship of individual assets as well as portfolios in the market equilibrium. 3.Market Model and Beta Stationary Over Time In empirical application of the CAPM, the following equation which is called Market Model has typically been used in a time-series regression to estimate beta coefficients. ?? The CAPM does not require that the beta coefficient of a security be stationary over time. In empirical application of the CAPM, market model assumes that beta coefficient is stationary over time, so the validity of the estimated beta coefficient from this model as a measure of systematic risk demands the stationary of beta coefficient. Blume was the first to investigate the stationary problem. Later, a considerable amount of research has been devoted to assessing the this problem. The result of these studies suggest that beta coefficients cannot be considered stationary. However, formulate the portfolio was improved to be stationarity of beta coefficient. 4.An Empirical Research in the Korean Stock Market 1)Hypothesis and Test Model. For the purpose of the empirical analysis, we setting up the following hypothesis. In the Korean Stock Market, the single security beta coefficients were not good predictor of the corresponding beta but, formulate the portfolios improving the stationarity of beta coefficient. To test the hypothesis, we setting up the following models are as following, Model Ⅰ.?? Model Ⅱ.?? Model Ⅰ is a modified version of market model and Model Ⅱis formulated to test the stationarity of beta coefficient by correlation analysis. 2) Sample Data For this study 60 common stocks were selected from those continuously listed on the Korea Stock Market from 1979 to 1982. And sample intervals were 15days. This total sample period was partitioned into the 13 subsets. And the rate of returns of all samples were computed from the price changes of the selected stocks. 3)Empirical result In views of the results, testing hypothesis, through correlation analysis and difference test over the two periods with Model Ⅰ,Ⅱ, single secunty is lacking in stationarity of systematic risk but, formulating portfolios the stationarity of systematic risk can be increased. So, hypothesis is accepted 5.Conclusion Market Model assumes that the beta coefficient is stationary over time in empirical application of the CAPM. But empirical researches suggest that beta coefficient can not be considerably stationary. In the Korean Stock Market, we found that single security beta coefficient over one period were not good predictor of the corresponding betas in the subsequent period, but formulating the portfolios, the stationarity of betas increased significantly.