代码拉取完成，页面将自动刷新
cap program drop cnbeta
program define cnbeta
version 15
syntax anything(name=stockquote) ///
[,fm(integer 1)] [fd(integer 1)] [fy(integer 1990)] ///
[lm(integer 12)] [ld(integer 31)] [ly(integer 2099)] ///
[byyear] ///
[roll] [rwindow(integer 12)] [datatype(string)] ///
[indexop(numlist)]
preserve
qui {
********************************数据预处理****************************************
*生成股票代码筛选指标
clear
grss clear
global id =`stockquote'
scalar stockcode = floor(`stockquote'/1000)
*调入数据生成股价时序图
capture which cntrade
if _rc != 0 {
dis in red "you should install cntrade by typing -ssc install-"
}
cntrade $id
save $id.dta , replace
global nn = stknme[1]
tsset date
grss tsline clsprc , xlabel(,angle(60)) subtitle("Stock Price of $nn $id ")
graph export "$out\price_$id.png", replace
*指数选项处理
if "`indexop'"!=""{
cntrade `indexop', index
rename rmt retmkt_`indexop'
save index_`indexop'.dta, replace
use "index_`indexop'.dta", clear
}
else {
*沪市B股指数
if stockcode>899{
cntrade 000003, index
rename rmt retmkt_000003
save index_000003.dta, replace
use "index_000003.dta", clear
}
*沪市A股-上证综指
else if stockcode>599{
cntrade 000001, index
rename rmt retmkt_000001
save index_000001.dta, replace
use "index_000001.dta", clear
}
*创业板指数
else if stockcode>299{
cntrade 399006, index
rename rmt retmkt_399006
save index_399006.dta, replace
use "index_399006.dta", clear
}
*深市B股指数
else if stockcode>199{
cntrade 399108, index
rename rmt retmkt_399108
save index_399108.dta, replace
use "index_399108.dta", clear
}
*中小板指数
else if stockcode>1{
cntrade 399005, index
rename rmt retmkt_399005
save index_399005.dta, replace
use "index_399005.dta", clear
}
*深市A股-深成指
else {
cntrade 399001, index
rename rmt retmkt_399001
save index_399001.dta, replace
use "index_399001.dta", clear
}
}
global iname=indexnme[1]
merge 1:1 date using "$id.dta", nogen force
gen year = year(date)
gen month = month(date)
gen day = day(date)
local y_1=year[1]
local m_1=month[1]
local d_1=day[1]
drop if year<`fy'
drop if month<`fm' & year == `fy'
drop if day<`fd' & month==`fm' & year == `fy'
drop if year>`ly'
drop if month>`lm' & year == `fy'
drop if day>`ld' & month==`fm' & year == `fy'
sum
local numofob = r(N)
if `numofob' < 10{
disp as error "There is not enough data for estimation"
exit 198
}
order date year month day index* stk* r*
save "merge_$id_daydta.dta", replace
********************************整个区间的beta************************************
use "merge_$id_daydta.dta", clear
reg rit retmkt
_coef_table
global starty=year[1]
global lasty=year[_N]
grss aaplot rit retmkt if e(sample), xline(0,lp(dash) lc(red)) ///
yline(0,lp(dash) lc(red)) msize(*0.6) ///
title(" Beta Coefficient of $nn ($id) , $starty - $lasty") ///
xtitle("Market Index Return Rate ($iname)")
graph export "$out\aaplot_$id_b$yr.png", replace
regfit, f(%4.2f) tvalue //呈现拟合方程
********************************逐年估计*****************************************
if "`byyear'"!=""{
use "merge_$id_daydta.dta", clear // !!!
bysort year: reg rit retmkt, noheader
statsby _b[retmkt], by(year) saving("beta_year_data.dta", replace): ///
reg rit retmkt
use "beta_year_data.dta", clear
keep if _stat!=.
sum year
local byr = r(min)
local eyr = r(max)
list
#d ;
grss twoway connect _stat year,
yline(1, lpattern(dash) lcolor(red*0.3))
xlabel(`byr'(2)`eyr')
ylabel(,angle(0) format(%2.1f))
subtitle("$Beta Coefficient of $nn ($id), Estimated by year" )
ytitle("beta") xtitle("");
#d cr
graph export "beta byyear $nn $id.png", replace
}
********************************滚动估计*****************************************
if "`roll'"!=""{
*未选择数据类型
if "`datatype'"=="m"{
clear
cntrade $id
gen year = year(date)
gen month = month(date)
gen day = day(date)
keep stkcd date stknme clsprc rit year month day
gen Order=_n
tsset Order
gen lagmonth = L.month
gen indic=month-lagmonth
drop if indic==0
gen orDer=_n
tsset orDer
gen t=clsprc-F.clsprc
gen mrit=t/F.clsprc
keep stkcd date stknme year month mrit
save $id_dtom.dta , replace
clear
*指数选项处理
if "`indexop'"!=""{
cntrade `indexop', index
rename rmt retmkt_`indexop'
save index_`indexop'.dta, replace
use "index_`indexop'.dta", clear
}
else {
*沪市B股指数
if stockcode>899{
cntrade 000003, index
rename rmt retmkt_000003
save index_000003.dta, replace
use "index_000003.dta", clear
}
*沪市A股-上证综指
else if stockcode>599{
cntrade 000001, index
rename rmt retmkt_000001
save index_000001.dta, replace
use "index_000001.dta", clear
}
*创业板指数
else if stockcode>299{
cntrade 399006, index
rename rmt retmkt_399006
save index_399006.dta, replace
use "index_399006.dta", clear
}
*深市B股指数
else if stockcode>199{
cntrade 399108, index
rename rmt retmkt_399108
save index_399108.dta, replace
use "index_399108.dta", clear
}
*中小板指数
else if stockcode>1{
cntrade 399005, index
rename rmt retmkt_399005
save index_399005.dta, replace
use "index_399005.dta", clear
}
*深市A股-深成指
else {
cntrade 399001, index
rename rmt retmkt_399001
save index_399001.dta, replace
use "index_399001.dta", clear
}
}
gen year = year(date)
gen month = month(date)
gen day = day(date)
keep indexcd date indexnme clsprc retmkt year month day
gen Order=_n
tsset Order
gen lagmonth = L.month
gen indic=month-lagmonth
drop if indic==0
gen orDer=_n
tsset orDer
gen t=clsprc-F.clsprc
gen mretmkt=t/F.clsprc
keep indexcd date indexnme clsprc mretmkt year month
global iname=indexnme[1]
merge 1:1 date using "$id_dtom.dta", nogen force
save "merge_$id_monthdta.dta", replace
use "merge_$id_monthdta.dta", clear
drop if mretmkt==.
drop if mrit==.
gen ORDEr=_n
tsset ORDEr
global smonth=date[1]
capture gen year = year(date)
capture gen month = month(date)
capture gen day = day(date)
local y_1=year[1]
local m_1=month[1]
local d_1=day[1]
drop if year<`fy'
drop if month<`fm' & year == `fy'
drop if day<`fd' & month==`fm' & year == `fy'
drop if year>`ly'
drop if month>`lm' & year == `fy'
drop if day>`ld' & month==`fm' & year == `fy'
rolling _b , window(`rwindow') saving(betadata,replace) : reg mrit mretmkt
qui use "betadata.dta",clear
gen syz=start-1
gen css=syz*12
gen lidayou=css+ $smonth
format lidayou %td
rename _b_mretmkt b1
drop if b1>10
label var b1 "beta"
label var lidayou "Date"
qui tsset lidayou
grss twoway tsline b1 ,yline(1) ///
title("Beta Coefficient of $nn ($id), $starty - $lasty") subtitle(" Estimated by rolling with the window of `rwindow' month")
}
else{
*选择数据类型为日数据
if "`datatype'"=="d"{
use "merge_$id_daydta.dta", clear
drop if retmkt==.
drop if rit==.
gen ORDEr=_n
tsset ORDEr
global sdate=date[1]
rolling _b , window(`rwindow') saving(betadata,replace) : reg rit retmkt
qui use "betadata.dta",clear
rename _b_retmkt b1
drop if b1>10
gen dateday = start + $sdate -1
label var b1 "beta"
label var dateday "Day"
qui tsset dateday , daily
grss twoway tsline b1 ,yline(1) ///
title("Beta Coefficient of $nn ($id), $starty - $lasty") subtitle("Estimated by rolling with the window of `rwindow' day")
}
*选择数据类型为年数据
else if "`datatype'"=="y"{
clear
cntrade $id
gen year = year(date)
gen month = month(date)
gen day = day(date)
keep stkcd date stknme clsprc rit year month day
gen Order=_n
tsset Order
gen lagyear = L.year
gen indic=year-lagyear
drop if indic==0
gen orDer=_n
tsset orDer
gen t=clsprc-F.clsprc
gen mrit=t/F.clsprc
keep stkcd date stknme year month mrit
save $id_dtoy.dta , replace
clear
*指数选项处理
if "`indexop'"!=""{
cntrade `indexop', index
rename rmt retmkt_`indexop'
save index_`indexop'.dta, replace
use "index_`indexop'.dta", clear
}
else {
*沪市B股指数
if stockcode>899{
cntrade 000003, index
rename rmt retmkt_000003
save index_000003.dta, replace
use "index_000003.dta", clear
}
*沪市A股-上证综指
else if stockcode>599{
cntrade 000001, index
rename rmt retmkt_000001
save index_000001.dta, replace
use "index_000001.dta", clear
}
*创业板指数
else if stockcode>299{
cntrade 399006, index
rename rmt retmkt_399006
save index_399006.dta, replace
use "index_399006.dta", clear
}
*深市B股指数
else if stockcode>199{
cntrade 399108, index
rename rmt retmkt_399108
save index_399108.dta, replace
use "index_399108.dta", clear
}
*中小板指数
else if stockcode>1{
cntrade 399005, index
rename rmt retmkt_399005
save index_399005.dta, replace
use "index_399005.dta", clear
}
*深市A股-深成指
else {
cntrade 399001, index
rename rmt retmkt_399001
save index_399001.dta, replace
use "index_399001.dta", clear
}
}
gen year = year(date)
gen month = month(date)
gen day = day(date)
keep indexcd date indexnme clsprc retmkt year month day
gen Order=_n
tsset Order
gen lagyear = L.year
gen indic=year-lagyear
drop if indic==0
gen orDer=_n
tsset orDer
gen t=clsprc-F.clsprc
gen mretmkt=t/F.clsprc
keep indexcd date indexnme clsprc mretmkt year month
global iname=indexnme[1]
merge 1:1 date using "$id_dtoy.dta", nogen force
save "merge_$id_yeardta.dta", replace
use "merge_$id_yeardta.dta", clear
drop if mretmkt==.
drop if mrit==.
gen ORDEr=_n
tsset ORDEr
global syear=date[1]
capture gen year = year(date)
capture gen month = month(date)
capture gen day = day(date)
local y_1=year[1]
local m_1=month[1]
local d_1=day[1]
drop if year<`fy'
drop if month<`fm' & year == `fy'
drop if day<`fd' & month==`fm' & year == `fy'
drop if year>`ly'
drop if month>`lm' & year == `fy'
drop if day>`ld' & month==`fm' & year == `fy'
rolling _b , window(`rwindow') saving(betadata,replace) : reg mrit mretmkt
qui use "betadata.dta",clear
gen syz=start-1
gen css=syz*250
gen lidayou=css+ $syear
format lidayou %td
rename _b_mretmkt b1
drop if b1>10
label var b1 "beta"
label var lidayou "Date"
qui tsset lidayou
grss twoway tsline b1 ,yline(1) ///
title("Beta Coefficient of $nn ($id), $starty - $lasty") subtitle("Estimated by rolling with the window of `rwindow' year")
}
else{
disp as error "you must specify datatype as 'd', 'm', or 'y'"
exit 198
}
}
}
}
restore
end
此处可能存在不合适展示的内容，页面不予展示。您可通过相关编辑功能自查并修改。
如您确认内容无涉及 不当用语 / 纯广告导流 / 暴力 / 低俗色情 / 侵权 / 盗版 / 虚假 / 无价值内容或违法国家有关法律法规的内容，可点击提交进行申诉，我们将尽快为您处理。
马建仓 AI 助手