股票异质性的CAPM实证检验——基于市场领导和落后的双重视角

A CAPM Empirical Test of Stock Heterogeneity——Based on Dual Views of Market Leadership and Backwardness

本文针对CAPM模型在中国股票市场的适用性进行了实证检验,根据行业分类抽取上海证券交易所2013—2015年216只股票作为样本,分别进行时间序列和横截面分析。另外,考量不同行业地位的股票对市场风险敏感程度的差异,将样本股分为市场领导企业和市场落后企业,结果表明CAPM模型在中国不具适用性,大多数投资者更多地关注于短期获利行为而不是选择长期持有股票的投资策略,市场落后企业相较于市场领导企业有较多的投机机会与投机活动。

Using the sample of listed companies of Shanghai Stock Exchange from 2013 to 2015,this paper empirically investigates the validity of the Capital Asset Pricing Model(CAPM)and examines the lead-lag effects of the stock market.The results show that the CAPM does not hold for Chinese stock market.Most investors prefer to speculate rather than buy and hold.Compared with market leaders,backward companies attract more speculative activities.