资本资产定价模型(CAPM)在深证A股市场的有效性检验

An estimation of effectiveness of the CAPM in Shenzhen(China) A-share market

以深证A股市场为研究对象,通过时间序列回归方法对CAPM在深证A股市场的有效性和适用性进行实证检验,结果表明,目前深证A股所需要面对的主要是非系统风险,而系统风险对股票收益的解释力很低。因此CAPM并不适合深证A股市场,深证A股市场仍然是一个不成熟的市场。

This article takes Shenzhen（China） A-share market as study target,investigate and analyze the effectiveness and adaptability of the CAPM in Shenzhen（China） A-share market by using time series regression analysis method. The results indicate that most of the risk current for Shenzhen A-share need to face is non-systematic risk and the explanatory power of systematic risk toward the expected return of stocks is very weak. Therefore,utilizing the CAPM is unsuitable for Shenzhen A-share market and this share market is unfeasible.