CAPM模型在中国沪深股票市场中的实证研究  

The Empirical Study of CAPM Model in Shanghai and Shenzhen Stock Market of China

作　　者：何小蓉 胡日东[1] HE Xiaorong;HU Ridong(School of Economics and Finance,Huaqiao University,Quanzhou 362021,China)

机构地区：[1]华侨大学经济与金融学院,福建泉州362021

出　　处：《福建商学院学报》2020年第6期23-29,共7页Journal of Fujian Business University

基　　金：福建省科技创新战略研究联合项目“人口老龄化对家庭金融资产选择的影响研究”(2020R0160)。

摘　　要：选取沪深股票市场数据进行实证研究,分别采用横截面检验、时间序列检验方法对风险系数值与股票和股票组合收益率间的关系进行检验。股票组合承担的风险与收益率之间不呈正线性关系,在中国沪深股票市场中,现阶段的CAPM模型具有弱适用性,非系统风险在资产定价中起着重要作用。应提高证券市场化水平,完善金融监管体系,进一步加强市场有效性。The article selects data from Shanghai and Shenzhen stock markets, using cross-sectional tests and the time series test method to examine the relationship between the value of the risk coefficient β and the return rate of stocks and stock portfolios. There is no positive linear relationship between the risk assumed by the stock portfolio and the return rate. In Shanghai and Shenzhen stock markets of China, the current CAPM model has weak applicability and non-systematic risks also play an important role in asset pricing. The level of securities marketization and the financial regulatory system should be improved and market effectiveness should be further strengthened.

关 键 词：CAPM模型 Β系数 沪深股票市场 

分 类 号：F830.91[经济管理—金融学]