| CAPM对深圳股市的实证分析 |
| |
| 引用本文： | 顾荣宝,刘瑜华. CAPM对深圳股市的实证分析[J]. 安徽大学学报(自然科学版), 2007, 32(2): 17-20. DOI: 10.3969/j.issn.1000-2162.2007.02.005 |
| |
| 作者姓名： | 顾荣宝 刘瑜华 |
| |
| 作者单位： | 南京财经大学,金融学院,江苏,南京,210046;南京财经大学,金融学院,江苏,南京,210046 |
| |
| 基金项目： | 江苏省高校自然科学基金资助项目(05KJB110033) |
| |
| 摘 要： | 以深圳股票市场为研究对象,通过时间序列回归方法对CAPM在中国证券市场的适用性进行实证检验,结果表明CAPM不适合我国深圳股票市场.这说明近年来深圳股市虽有较大发展,但仍然是一个不成熟的股市.
|
| 关 键 词： | 股票市场 收益率 CAPM |
| 文章编号： | 1000-2162（2007）02-0017-04 |
| 修稿时间： | 2006-08-16 |
Empirical tests of CAPM on Shenzhen's stock market |
| |
| GU Rong-bao,LIU Yu-hua. Empirical tests of CAPM on Shenzhen's stock market[J]. Journal of Anhui University(Natural Sciences), 2007, 32(2): 17-20. DOI: 10.3969/j.issn.1000-2162.2007.02.005 |
| |
| Authors: | GU Rong-bao LIU Yu-hua |
| |
| Affiliation: | School of Finance, Nanjing University of Finance and Economics, Nanjing 210046, China |
| |
| Abstract: | In this paper,we empirical test whether CAPM is useful in China's stock market,using closing prices of equities in Shenzhen's market and the method of time sequence recurrence.The results show that CAPM isn't applicable in Shenzhen's stock market.Although making rapid development,Shenzhen's stock market is still an immature market. |
| |
| Keywords: | stock market return CAPM |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
