CAPM模型在上海股票市场的实证研究
The Empirical Research of the Capital Asset Pricing Model in Shanghai Security Market

作者: 段娅丽 :中国政法大学商学院,北京;

关键词: CAPM模型β系数时间序列检验横截面检验The Capital Asset Pricing Model Beta Time Series Test Cross-Sectional Examination

摘要:

为研究CAPM模型在中国股票市场的适用性,本文以上海股市为研究对象,首先选取2002年12月31日以前上市且处于正常交易的640只沪市A股作为样本,通过同花顺炒股软件筛选出2003年1月至2012年12月历时十年的经除权、除息处理后的月收益率数据。然后运用时间序列检验和横截面检验相结合的方法对沪市A股股票月收益率与β系数的关系进行检验,并分析其风险构成。最后,时间序列检验和横截面检验得出CAPM模型在上海股市非有效的结论。

Abstract:  In order to study the application of the Capital Asset Pricing Model in China stock market, the thesis regards the Shanghai Stock Market as the research object. Firstly, a list of A shares was selected, that means 640 stocks in Shanghai Stock Market as the sample was listed before December 31st in 2002 and in the situation of normal trading. Then, the data of monthly yield were filtered out by ex-dividend processing, which dates from January 1st in 2003 to December 31st in 2012. Afterwards, by using time series and cross-sectional test methods, the relationship between monthly return and beta of A shares in Shanghai Stock Market was tested. Furthermore, risk structure was analyzed. Finally, both the time series inspection and the cross-sectional inspection draw the conclusion that the CAPM is not effective in Shanghai Stock Market.

文章引用: 段娅丽 (2014) CAPM模型在上海股票市场的实证研究。 世界经济探索, 3, 18-27. doi: 10.12677/WER.2014.32003

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