广西师范大学学报（自然科学版） ›› 2017, Vol. 35 ›› Issue (4): 49-57.doi: 10.16088/j.issn.1001-6600.2017.04.007

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资本资产定价模型在中国沪市的应用与检验——基于行业分组方法

阳向军1*,杨善朝2   

  1. 1.广西师范大学计算机科学与信息工程学院, 广西桂林541004;
    2. 广西师范大学数学与统计学院, 广西桂林541006
  • 出版日期:2017-07-25 发布日期:2018-07-25
  • 通讯作者: 阳向军(1972—), 女, 广西桂林人,广西师范大学副教授。E-mail:myxj925@163.com
  • 基金资助:
    国家自然科学基金(11461009);教育部人文社会科学研究规划基金(15YJAZH040);广西哲学社会科学规划课题(17BTJ001)

Applications and Tests of a Capital Asset Pricing Model in Chinese ShanghaiStock Market: Based on the Method of Industry Group

YANG Xiangjun1*,YANG Shanchao2   

  1. 1.College of Computer Science and Information Engineering, Guangxi Normal University, Guilin Guangxi 541004,China;
    2.College of Mathematics and Statistics,Guangxi Normal University, Guilin Guangxi 541006,China
  • Online:2017-07-25 Published:2018-07-25

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摘要： 资本资产定价模型 (CAPM) 是学术界关于现代金融理论研究的焦点。CAPM在中国目前资本市场的有效性需要进一步实证研究和检验。本文以30个行业指数和上证综合指数作为研究对象,利用其在2007年10月15日-2015年9月30日的日交易数据进行时间序列和横截面双回归分析,获得各行业在不同时期的β系数,以此较全面地分析各行业的风险收益情况,并且利用平均收益率和β系数之间的线性关系检验CAPM模型的有效性。

关键词: 资本资产定价模型, 上证综合指数, 行业分组, 双回归分析

Abstract: Capital asset pricing model (CAPM) is the focus of the academic study of modern finance theory. The effectiveness of CAPM in China’s current capital markets needs to further empirical research and test. In this paper, the indices of 30 industries and the Shanghai Composite Index are chosen as research subjects, and their daily trading data from October 15, 2007 to September 30, 2015 are used to conduct time series analysis and cross-sectional double regression analysis. The β coefficients of different periods in different industries are calculated to analyze the risk and benefit of each industry in a comprehensive way, and to test the validity of CAPM model by using the linear relationship between the average rates of return and the β coefficients.

Key words: capital assets pricing model, Shanghai composite index, industry group, double regression analysis

中图分类号: 

  • F832
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