CAPM模型在加密货币市场的适用性检验

The Empirical Study of the CAPM Model Applicability in Cryptocurrency Market

为解决DCEP(央行数字货币)发行后可能遇到的风险,加密货币市场的系统风险和超额收益之间的关系,利用资产定价模型(CAPM)对加密货币市场的适用性进行检验,采用定义式和回归方程两种方法估计加密货币i的beta系数,对beta系数进行时间序列回归,横截面回归,发现参数估计不显著,得到CAPM模型不能很好的解释加密货币市场风险和收益之间的关系,适用性不强的结果。

In order to address the risks that may be encountered after the issuance of DCEP(Central Bank Digital Currency),the relationship between systemic risk and excess return in the cryptocurrency market is discussed.The tests of the CAPM model applicability in Cryptocurrency Market,adopt the definition and regression equation of two methods to estimate the encryption to the money i beta coefficient,the beta coefficient of time series regression,cross-sectional regression,found no significant parameter estimation,get CAPM model can well explain encryption,the relationship between the monetary market risks and benefits of the result of applicability is not strong.