CAPM模型对中国资本市场的检验分析

Sample Analysis of CAPM Model in Chinese Capital Market

CAPM模型中的贝塔系数是用来衡量资本市场系统风险的基本参数,一个完备的具有有效性的资本市场,它的贝塔系数是不变的,传统的CAPM模型中也要求贝塔系数是固定不变的。沪市15家上市公司的数据样本,说明在我国资本市场,贝塔系数具有不稳定性,从而进一步说明,当前的资本市场并不具备有效性,并进一步对其成因进行分析并加以说明和解释。

Coefficient in CAPM model is the basic parameter to weigh the system risk of the capital market. The coefficient in a complete capital market with validity is usually steady, and that is also a requirement of the traditional CAPM model. Taking the data of 15 listed companies in stock markets of Shanghai as samples, the paper shows that coefficient in Chinese capital market is unsteady, i.e. the present capital market in China does not possess validity. And the reasons and explanations are also presented.