B股市场套利定价模型有效性实证分析  

Empirical Analysis of Factor Processing for B Shares in Shanghai Stock Exchange Based on APT Model

作　　者：李姜悦 王伟杰 侯为波[1] 陶沙[1] LI Jiangyue;WANG Weijie;HOU Weibo;TAO Sha(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院,安徽淮北235000

出　　处：《淮北师范大学学报（自然科学版）》2021年第4期32-37,共6页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽高校自然科学基金项目(KJ2018A0674,KJ2019A0953)。

摘　　要：为研究套利定价模型在中国B股市场的有效性,选取上海证券市场28支B股2015年3月至2020年12月的月度收益率数据为被解释变量,选取同时期的市场风险溢价、消费者物价指数全国同比增长率、美元汇率等8个因子为解释变量,建立套利定价模型Ⅰ;再将选取的8个因子中的5个因子:失业率、美元汇率、工业品出厂价格指数、上交所融资余额和消费者信心指数全部分别替换为自身增长率,再次建立8因子套利定价模型Ⅱ.实证分析结果表明,模型Ⅰ拟合度为67.8%,模型Ⅱ拟合度为70.6%,高于模型Ⅰ拟合度.因此,所构建的模型Ⅱ和因子的数据处理方式是有效的.In order to study the effectiveness of the arbitrage pricing model B share market in China,this paper selects the monthly return rate data of 28 B shares in Shanghai stock market from March 2015 to December 2020 as the predicted variables,and selects 8 factors such as market risk premium,the year-on-year growth rate of CPI and US dollar exchange rate in the same period as the explanatory variables to establish APT model I;Then,five of the eight factors selected,namely unemployment rate,US dollar exchange rate,Producer Price Index,balance of financing in Shanghai Stock Exchange and consumer confidence index,are all replaced with their own growth rates,and the eight-factor of APT model II is established again.The empirical analysis results show that the fitting degree of model I is 67.8%,and the fitting degree of model II is 70.6%,which is higher than the fitting degree of model I.Therefore,the model II built and the method of data processing in this paper are effective.

关 键 词：APT模型 收益率 因子处理 显著性检验 

分 类 号：F830.39[经济管理—金融学]