适合我国证券市场投资组合模型的构建

Building of the Appropriate Portfolio Theory in Chinese Securities Market

单指数横型和多指数横型不能准确地计量我国证券投资的风险。选取流通市值作为规模因素对夏普的证券组合模型进行修正,通过股票的周收益率的平均值或平均值之差来量化流通市值而构建出的证券市场投资组合的二因素模型的统计检验结果表明:流通市值对多数证券的周收益率具有较强的解释能力,且加入市值差异后,回归方程中残差的相关性有明显的下降。

The single - index model and mutiple - factor model can＇ t measure preasely the risk in Chinese securities market so the thesis revises the single - index factor model by selecting market value circulation as a risk factor, then calculates the market value by using the average value of stock yield or the difference of the average value between the high earning ratio stock and the lower one. Finally, it builds a new two - factor model and testifies its applicability, which shows the two - factor model is suitable for our securities market.