上海证券市场的CAPM实证检验
Empirical Test of CAPM in ShanghaiSecurities Market
DOI: 10.12677/FIN.2019.91004, PDF,  被引量   
作者: 陈奕帆, 孙佳意, 徐 雯*, 金 辉*：杭州电子科技大学经济学院，浙江 杭州
关键词: CAPM；实证分析；上证180指数；贝塔系数；CAPM； Empirical Analysis； SSE 180 Index； Beta Coefficient
摘要: 为了对CAPM模型在中国市场的适用性和有效性进行实证分析，从上证180指数中随机选取50支A股股票，并以2016年1月至2018年1月为研究时间段。在得出各支股票贝塔系数的基础上，进行风险和收益的横截面分析。实证结果表明，CAPM并不能完全适用于现阶段我国的A股市场。CAPM的局限性源于自身条件的限制和中国股市的不成熟。
Abstract: In order to empirically analyze the practicality and effectiveness of the CAPM model in the Chinese market, 50 A-shares from the SSE 180 Index are randomly selected, with the investigation period from January 2016 to January 2018. Based on calculation of the beta coefficient of each stock in advance, a cross-sectional analysis for both risks and benefits is performed. The empirical results show that CAPM cannot be fully applied to the current A-share market in China. The limitations of CAPM stem from the limitations of their own conditions and the immaturity of Chinese stock mar-ket.
文章引用：陈奕帆, 孙佳意, 徐雯, 金辉. 上海证券市场的CAPM实证检验[J]. 金融, 2019, 9(1): 28-33. https://doi.org/10.12677/FIN.2019.91004

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