摘要
本文从资本资产定价CAPM模型出发,选取了上证A股中的20只股票作为研究样本,利用月收益率数据,对2010年1月到2015年5月CAPM模型的适用性进行了检验,分析在金融危机后我国金融市场能否接近CAPM的假设条件,通过对检验结果进行对比分析,得出结论是CAPM模型在上证A股具有弱适用性。
Analyzing from the capital asset pricing model ( CAPM ), this paper selects 20 stocks from Shanghai A - share as research samples, and verifies the applicability of CAPM from January 2010 to May 2015 by using the monthly return data, which analyzes whether China's financial market can approach the assumed conditions of CAPM after the financial crisis. Through the contrastive analysis of the test results, it concludes that CAPM model is feebly applied in Shanghai A - shares.
出处
《贵州商业高等专科学校学报》
2015年第4期5-10,共6页
Journal of Guizhou Commercial College
基金
新疆维吾尔自治区研究生科研项目"乌鲁木齐PM2.5浓度的动态分析研究"(XGJRI2015120)