中国市场分割下的多贝它资本资产定价模型——理论模型及实证检验

Multiply Beta CAPM under Chinese Market Segmentation: Model and Test

本文根据中国股票市场的情况,定义了市场分割。并在此前提下,从一般效用函数出发推导出中国市场分割下的资产定价模型,包括理论方程和经验方程。并利用中国沪市 A,B股及香港恒生指数的数据对模型进行实证检验。结果指出A、B股之间由于存在明显的市场分割,定价并不统一。

According to the circumstance of China＇ s stock market, the paper defines the market segmentation in a new way. Based on the utility function, the paper produces the Capital Asset Pricing Model （CAPM） and then testes the model by using the data base including A share and B share index in Shanghai stock market and HangSeng index in HongKong markets. The result shows that there is market se^nentation between A shares and B share with inconsistent pricing