CAPM模型在上海股票市场的实证检验

CAFM mode's demonstration inspection on Shanghai stock market

本文针对CAPM模型在上海股票市场上的适用性进行了实证检验。本文首先对这类文章进行了简单的综述,并且在选取模型所需的数据之后,采用BJS三步骤方法和FM模型分别对上海股票市场的日收益率进行时间序列分析和横截面分析。最终认为CAPM模型在中国上海股票市场上适用性并不强,实际结果与该理论提出的先验分析存在着一定的差异。并且发现非系统风险因素对股票收益率影响颇大,这一点有利于构造投资组合降低风险进而提高相应的收益率来获得利润。

This paper tests the applicability of the CAPM in the Shanghai stock market. First, it has a sim- ple overview of this type lecting the required dates of articles, and after se- uses BJS three-step method and FM model to do time series analysis and cross-sec- tional analysis about daily yield of Shanghai stock market. It is concluded that the applicability of the CAPM is not so strong in Shanghai stock market; there are some differences between the actual results and the theoretical analysis of the proposed priori. In addi- tion, non-systematic risk factors have much influence on stock returns, which is beneficial to construct a portfolio to reduce risks and to improve the yield to make profit.