CAPM模型的有效性研究——基于中国证券行业在牛熊市时期的实证比较  

Analysis for Efficience of CAPM Model-Based on the Empirical Comparison of Chinese Securities Industry in Bull and Bear Markets

作　　者：张燕 王一登 Zhang Yan;Wang Yideng(Finance School,Jiangxi University of Fiance and Economics,Nanchang Jiangxi 330013)

机构地区：[1]江西财经大学金融学院

出　　处：《对外经贸》2019年第5期133-137,共5页FOREIGN ECONOMIC RELATIONS & TRADE

摘　　要：资本资产定价模型(CAPM)是理解资本市场理论中有关收益与市场风险之间关系的重要模型。证券业是资本市场的重要组成部分,其业务特性决定股票市场风险对其个股有显著的影响。以2005年至今的八个牛熊市周期为划分,以A股市场证券行业个股为研究对象进行回归分析,基于CAPM的特性以探究券商业股票市场在不同牛熊市中系统性风险与总风险的关系变化。结果表明,CAPM模型经验证在该行业具有有效性,同时熊市期间的拟合优度R2要高于牛市期间的R2,说明了系统性风险与总风险关系在牛熊市存在差异。对此提出造成该牛熊市差异现象的几个可能影响因素,分别为牛熊市造成的证券行业的盈利能力变化、金融监管变化以及意义。The Capital Asset Pricing Model ( CAPM) is an important model for understanding the relationship be-tween return and market risk in capital market theory. As an important part of the capital market,the securities in-dustry’s business characteristics determine that the stock market risk has a significant impact on its individual stocks. Based on the characteristics of CAPM,this paper explores the relationship between systematic risk and total risk of the securities commercial stock market in different bull and bear markets. The results show that the CAPM has been validated in the industry,and the goodness of fit of the model is different between the bull and the bear markets. The goodness of fit during the bear market is higher than the R2 during the bull market,indicating the relationship between systemic risk and the total risk varies in the bull and bear markets. In this regard,this paper proposes several possible influencing factors that cause the bull-bear markets to differ. The profitability of the securities industry caused by the bull and bear market,the changes in financial supervision,and the degree of market reaction to positive and negative news from the perspective of behavioral finance. Based on the research,the relationship between bull and bear market and systemic risk on the interpretation of yield is of great significance for understanding the stock market of the securities industry.

关 键 词：CAPM模型 系统性风险 券商业 牛熊市 

分 类 号：F832.5[经济管理—金融学]