CAPM在我国市场的适用性——基于融资融券标的基金的实证分析  

Applicability of CAPM in Chinese market--An empirical analysis of funds based on margin trading

作　　者：张毓婷 Zhang Yuting(Lanzhou University of Finance and Economics,Lanzhou,Gansu,730020)

机构地区：[1]兰州财经大学,甘肃兰州730020

出　　处：《市场周刊》2020年第10期149-151,共3页Market Weekly

摘　　要：通过以融资融券标的基金的日收益率为样本数据,将其分为两阶段进行时间序列检验和横截面检验,用第一期的数据进行时间序列检验得出各基金的β值,用第二期数据进行横截面检验,研究在做空机制下资本资产定价模型(CAPM)在我国证券市场的适用性。研究结果表明,在我国证券市场,系统性风险对资产收益率线性影响不显著,非系统性风险对资产收益率有较为显著的线性影响,CAPM模型在我国证券市场不完全适用。并对融资融券业务、交易制度、上市公司财务监管提出建议。Taking the daily return rate of the underlying funds as sample data,this paper divides it into two stages for time series test and cross-section test.It uses the first period of data for time series test to get the beta value of each fund,and uses the second period data to conduct cross-section test to study the applicability of capital asset pricing model(CAPM)in China's securities market under the short mechanism.The results show that in China's securities market,the linear effect of systemic risk on return on assets is not significant,while that of non systematic risk is significant.CAPM model is not fully applicable in China's securities market.It also puts forward suggestions on margin trading,trading system and financial supervision of listed companies.

关 键 词：CAPM 融资融券 基金 适用性 

分 类 号：F832.5[经济管理—金融学]