| 深圳证券市场的CAPM模型实证分析 |
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| 引用本文： | 丁善礼.深圳证券市场的CAPM模型实证分析[J].科学技术与工程,2009,9(11). |
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| 作者姓名： | 丁善礼 |
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| 作者单位： | 华南理工大学理学院数学系,广州,510640 |
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| 摘 要： | 对深圳股市的资本资产定价模型(CAPM)进行时间序列数据和横截面数据检验,研究了股市风险与收益的关系,对深圳股市的特点进行了分析.发现深圳股市不满足资本资产定价模型(CAPM),系统风险与收益虽存在正相关,但不是线性关系;市场投机氛围过重,说明市场还不成熟.
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| 关 键 词： | 资本资产定价模型 时间序列回归 横截面回归 |
Sample Analysis of CAPM Model in Shenzhen Stock-market |
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| DING Shan-li.Sample Analysis of CAPM Model in Shenzhen Stock-market[J].Science Technology and Engineering,2009,9(11). |
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| Authors: | DING Shan-li |
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| Institution: | Department of Mathematics;School of Science;South China University of Technology;Guangzhou 510640;P.R.China |
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| Abstract: | The empirical test of the CAPM is made in Shenzhen stock market which included time-serial regression and cross-sectional regression.At the same time,The risk-return relationship and characteristic property of Shenzhen stock market wre analyzed.The results show that the stock market of Shenzhen can not support the CAPM;the market is not a mature market. |
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| Keywords: | CAPM time-serial regression cross-sectional regression |
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