摘要
本文以我国股票市场为研究对象,选用2007年1月—2010年12月的月度时间序列数据,分别进行了单位根检验和回归分析,结果表明:在该段时间内,CAPM在我国的股票市场是有效的,并且个股的收益率与市场组合收益率呈正相关关系,通过对截距项的分析,比较了各个股票预期与实际收益率的差别,对投资者具有一定的指导意义。
This article aims at the stock market of China. The monthly time sequence data from January, 2007 to December, 2010 is selected for the analysis of the unit root inspection and regression. The results indicate that, in this period, CAPM in China＇s stock market is effective and the rate of return of individual share is positively related to that of market combination. Further, with the analysis of the intercept items, the differences in the expected and actual rate of return are distinguished. The findinzs are of some instructional significance to the investors.
出处
《学术探索》
CSSCI
2012年第6期88-91,共4页
Academic Exploration
基金
国家教育部人文社会科学2007年度重点项目(07JJD790150)
浙江省2009年度哲学社会科学规划课题(09CGYD066YBM)
