标题:
沪深300指数市场CAPM的实证研究Empirical Study of CAPM CSI 300 Index Market
作者:
牟娟, 张豪, 李彦夫
关键字:
CAPM, 沪深300, 回归分析CAPM, The CSI 300 Index, Regression Analysis
期刊名称:
《Statistics and Application》, Vol.5 No.2, 2016-06-24
摘要:
通过对烘丝工序出料含水率在线数据采集分布图进行分析，将基于CAPM模型和回归分析对沪深300指数中125支具有代表性股票的周收益率进行分析。结果显示沪深300指数中，其周收益率与以CAPM模型为基础计算的系统风险之间正相关关系不明显。然而股票收益率还与系统风险b之外的因素有关，说明CAPM模型并不适用于近年的中国股市。
Based on the CAPM model and regression analysis, the weekly yields of 125 representative stocks in the Shanghai and Shenzhen 300 index were analyzed. Results show that in the CSI 300 index, the positive correlation between the weekly return and the systematic risk b calculated through CAPM model is not obvious. When factors are considered to the stock returns, CAPM model is not suitable to China's stock market in recent years.