动态视角下CAPM模型在中国股市的有效性检验

Dynamic validity testing of CAPM model in china stock market

本文基于上海股票市场1997年到2013年的月度数据,选取249支股票作为样本股,建立状态空间方程,运用卡尔曼滤波的方法,计算出各股票组合的动态β系数,并进一步对CAPM模型在中国股票市场的有效性进行实证检验。最终,我们认为CAPM模型并不适合应用于现阶段的中国股票市场,其有效性存在着较大的随机性。

This paper is based on the monthly data from 1997 to 2013 in Shanghai stock market, selecting 249 stocks as sampled stocks. We calculate the dynamic β coefficients of stock by the state space model and the method of kalman filter. Further, we test the validity of CAPbi in Chinese stock market. Finally, we concluded that the CAPM model is not suithel for application in the present stage of China＇ s stock market. There are big randomness of its effectiveness.