﻿ 沪深300指数市场CAPM的实证研究 Empirical Study of CAPM CSI 300 Index Market

Statistics and Application
Vol.05 No.02(2016), Article ID:17865,7 pages
10.12677/SA.2016.52012

Empirical Study of CAPM CSI 300 Index Market

Juan Mou, Hao Zhang, Yanfu Li

The School of Mathematic, Yunan Normal University, Kunming Yunnan

Received: Jun. 2nd, 2016; accepted: Jun. 19th, 2016; published: Jun. 24th, 2016

ABSTRACT

Based on the CAPM model and regression analysis, the weekly yields of 125 representative stocks in the Shanghai and Shenzhen 300 index were analyzed. Results show that in the CSI 300 index, the positive correlation between the weekly return and the systematic risk b calculated through CAPM model is not obvious. When factors are considered to the stock returns, CAPM model is not suitable to China's stock market in recent years.

Keywords:CAPM, The CSI 300 Index, Regression Analysis

1. 引言

2. 资本资产定价模型CAPM

(1)

(2)

CAPM是一个事前线性模型，本文对其进行检验时即将理论的资本资产定价模型转换为可以利用历史数据的事后形式，其一般模型为：

(3)

(4)

3. 数据选取与分析

4. 模型与实证

Figure 1.The first order difference sequence diagram of market and stocks weekly excess yields y, x

Table 1. The return of CSI 300 market and stocks unit root test

(5)

(6)

(7)

(8)

Table 2. The coefficient β of every portfolio and average excess return of the thirdly period

(1) 在5%显著性水平下，各模型的值都比较小，即模型中股票超额收益与各解释变量之间的线性关系在总体上不显著。

(2) 模型五，当用作为解释变量时，在5%显著性水平下其系数是显著的，而股票收益率与之间呈正相关关系。

(3) 模型六至八，当用和回归残差的标准差作为解释变量时，各模型的值变化也不是很明显，且各系数也不显著。

5. 研究结论

Empirical Study of CAPM CSI 300 Index Market[J]. 统计学与应用, 2016, 05(02): 129-135. http://dx.doi.org/10.12677/SA.2016.52012

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