CAPM模型对市场指数为投资组合的有效性检验:以上海股票市场为例  

Validity test of Investment Portfolio Using CAPM Model for Market Index——A Case Study of Shanghai Stock Market

作　　者：李子耀[1] 黄洪瑾 LI Ziyao;HUANG Hongjin(College of Financial,Anhui University of Finance and Economics,Bengbu Anhui 233000,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《盐城工学院学报（社会科学版）》2018年第4期38-42,共5页Journal of Yancheng Institute of Technology（Social Science Edition）

摘　　要：以市场指数作为投资组合,选取上海股票市场2013年6月7日到2017年5月26日的6个市场指数的周收益率为研究对象,对CAPM模型进行时间序列检验和横截面检验。时间序列检验的结果表明:投资组合的收益率与市场组合的收益率之间存在着较为显著的线性关系;横截面检验结果表明投资组合的收益率与β系数之间并不存在着较为显著的正的线性关系,非系统风险也不能较好地解释投资组合收益率的变动,说明CAPM模型在当前的上海股票市场中并不适用,对我国证券市场的有效性不足。With the market index as the investment portfolio,the weekly return rate of the six market indices from June 7,2013 to May 26,2017 was selected as the research object,and the CAPM model was tested in time series and cross-sectional.The results of time series test show that there is a significant linear relationship between the return rate of the investment portfolio and the return rate of the market portfolio;The cross-sectional test results show that there is no significant positive linear relationship between the return rate of the investment portfolio and theβcoefficient,and the non-system risk does not better explain the change in the return rate of the investment portfolio,indicating that the CAPM model is not applicable in the current Shanghai stock market.,The effectiveness of China's securities market is insufficient.

关 键 词：CAPM Β系数 实证检验 

分 类 号：F830.91[经济管理—金融学]