上海股票市场资本资产定价模型实证检验

Empirical Tests on the CAPM of Shanghai Stock Market

本文对上海股市的资本资产定价模型进行时间序列数据和横截面数据检验 ,研究了股市风险与收益的关系 ,并对上海股市的特点进行了分析。结果发现上海股市系统性风险与收益存在正相关关系 ,但并不是 CAPM所预料的线性关系 ,说明还有其它风险因素在股票定价中起着不可忽视的作用 ;投资者的投机需求大于投资需求 ,相当多的投资者关注的不是资本的时间价值 ,而是追求高风险所带来的高收益。

In this paper, the empirical test of the CAPM is made in Shanghai stock for the period 1993: 1 1999:12 which included time serial regression and cross sectional regression. At the same time, the risk return relationship and character istic property of Shanghai stock have been studied. Our empirical tests show that the systematic risk is positive correlation with the expected return of security as the CAPM, the risk return relation is non linear and demand of speculation surpasses that of investment, that is to say, attention of investors in not the value of time of capital but high return with high risk.