哈尔滨商业大学学报（自然科学版）2011，Vol.27Issue(2)：182-184,207,4.
应用CAPM模型对深圳股市的实证检验
Empirical study of CAMP model based on shenzhen stock market
吴玉东1
作者信息
- 1. 哈尔滨商业大学基础科学学院,哈尔滨,150028
- 折叠
摘要
Abstract
The Shenzhen A - share market was presented by an empirical test using the Capital Asset Pricing Model (CAPM) in this paper.The test was carried out by means of Eviews software, BJS and FM models, selecting the closing prices of twenty shares from 2008 to 2010 as test samples.The results showed that the β-value is a significant factor in the stock return rate; there is a positive relation between the rate of return and system risk; and the non-system risk of individual stock contributes to the capital asset pricing as well.To eliminate the non-system risk of individual stock, the test is modified by the stock portfolio based on the β-value.As a result, it has drawn a conclusion that the stock portfolio is basically the same as individual one, but the β-value is more appreciated by the risk of stock portfolio.The test result also reflects that the Shenzhen stock market is not mature enough and has serious speculation.关键词
资本资产定价/平均收益/系统风险/股市Key words
capital asset pricing, average return/ system risk/ stock market分类
数理科学引用本文复制引用
吴玉东..应用CAPM模型对深圳股市的实证检验[J].哈尔滨商业大学学报（自然科学版）,2011,27(2):182-184,207,4.
