上海股票市场CAPM对产业分组有效性的实证检验

Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019) Pub Date : 2019-12-01 DOI:10.2991/febm-19.2019.24

Zhenyan Xiao, Yujian Yang, Liangfu Li, Yongjun Zhong

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引用次数: 0

摘要

本文选取上海证券交易所2016年6月至2018年6月基于证监会行业分类的18个行业的股票数据，进行两次检验。(1)时间序列检验证明，不同行业的β值存在显著差异，存在与市场收益率负相关的β值。(2)横断面数据检验证明CAPM对上海股市的有效性还远远不够。Keywords-CAPM;β系数;时间序列检验;剖面数据试验

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Empirical Test of the Effectiveness of CAPM for Shanghai Stock Market-Based on Industry Grouping

This paper selects the stock data of 18 industries based on the CSRC industry classification from June 2016 to 2018 from the Shanghai Stock Exchange and conducts two tests. (1) The time series test proves that the β values of different industries show significant differences, and there are β values that are negatively correlated with the market rate of return. (2) The cross-sectional data test proves that the CAPM is far from effective for Shanghai Stock Market. Keywords—CAPM; β coefficient; time series test; section data test

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Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019)

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