纳斯达克和道琼斯成分股公司投资组合CAPM模型的计量经济学检验

Q4 Mathematics

Analele Stiintifice Ale Universitatii Al I Cuza Din Iasi - Matematica Pub Date : 2015-11-01 DOI:10.1515/aicue-2015-0030

G. Vintilă, Radu Alin Păunescu

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引用次数: 0

摘要

摘要本文运用计量经济学方法对美国纳斯达克上市公司15只股票的经典CAPM模型进行实证检验。结果表明，对于大多数股票而言，预期收益与市场收益之间存在线性关系。样本中最大的公司(苹果、微软、谷歌等)的股票。INTC)的贝塔系数为亚单位，而规模较小的公司(ADBE、雅虎、百度等)的贝塔系数大于1。与证券市场线(SML)比较，我们发现股价被高估和高估，并使用GARCH-VECH模型，我们发现股价与波动溢出现象之间存在高度相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components

Abstract We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH-VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon.

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来源期刊

Analele Stiintifice Ale Universitatii Al I Cuza Din Iasi - Matematica MATHEMATICS-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： This journal is devoted to the publication of original papers of moderate length addressed to a broad mathematical audience. It publishes results of original research and research-expository papers in all fields of mathematics.