我国高科技概念股市场定价的实证分析

本文基于沪深两市 1 997、1 998两年的数据 ,对以电子信息行业和生物制药行业为代表的高科技概念股的股价行为进行了回归分析 ,建立了一个高科技概念股市盈率估价模型 .模型表明我国高科技概念股的市盈率仅仅与它的总风险相关 ,而与系统风险无关 .这与经典资本资产定价模型相冲突 ,对资本资产定价模型的进一步回归检验表明 ,证券资产平均收益率也仅与总风险相关 .对上述结果的可能解释是 :我国证券市场不符合资本资产定价模型的市场有效性假设 .

A positive analysis about the market pricing of hi-tech concept stock in China

Based on data from Shenzhen and Shanghai Stock Exchanges during 1997 to 1998,this paper makes a regressive analysis about the price behavior of the hi-tech concept stocks represented by electronic information industry and biopharmaceutical industry by building up a hi-tech concept stock P/E pricing model,by means of which it is found that the hi-tech concept stock P/E in China relates only to total risk but not to system rsik.This runs counter to the classical capital assets price model.A further regressive test on the classical capital assets price model also shows that the average relates only to total risk.One possible explanation about these results is that the stock market in China does not comply with the efficient market hypothesis of the classical capital assets pricing model.