本文關(guān)鍵詞：以行業(yè)分組對(duì)中國(guó)股市CAPM模型的實(shí)證檢驗(yàn)　出處：《廣西師范大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：資本資產(chǎn)定價(jià)模型CAPM (The Capital Assets Pricing Mode)是描述在投資市場(chǎng)均衡狀態(tài)下風(fēng)險(xiǎn)資產(chǎn)期望收益率與風(fēng)險(xiǎn)之間的相互關(guān)系,給出了風(fēng)險(xiǎn)資產(chǎn)的均衡價(jià)格。CAPM在建立投資組合過程中起著非常重要的作用,隨著我國(guó)股票市場(chǎng)的不斷發(fā)展壯大,CAPM模型在我國(guó)的應(yīng)用范圍也將日益擴(kuò)大,因此在我國(guó)這樣一個(gè)新興的資本市場(chǎng)上檢驗(yàn)CAPM的適用性和有效性是非常必要的。 本文選取2007年6月至2010年6月的中國(guó)股票市場(chǎng)31個(gè)行業(yè)數(shù)據(jù),主要進(jìn)行兩方面的研究,一是對(duì)組合β系數(shù)及其穩(wěn)定性研究；二是對(duì)樣本數(shù)據(jù)進(jìn)行CAPM實(shí)證檢驗(yàn)。實(shí)證檢驗(yàn)方面首先進(jìn)行組合的預(yù)期收益率與β系數(shù)之問是否存在正線性相關(guān)關(guān)系的檢驗(yàn),接者對(duì)行業(yè)β系數(shù)進(jìn)行結(jié)果分析,然后進(jìn)行時(shí)間序列檢驗(yàn)及橫截面檢驗(yàn)。試圖對(duì)中國(guó)股市的CAPM特點(diǎn)作分析,并提出自己的觀點(diǎn)。主要口的是：(1)用中國(guó)股市近幾年的數(shù)據(jù)進(jìn)行的風(fēng)險(xiǎn)與收益關(guān)系的實(shí)證研究,在經(jīng)歷多年不斷發(fā)展,CAPM模型的有效將將發(fā)生怎樣的變化,是否適合中國(guó)股票市場(chǎng)。(2)分析中國(guó)股市的特點(diǎn)。 本文研究方法總體思路是對(duì)以行業(yè)分組的中國(guó)股市的CAPM進(jìn)行實(shí)證檢驗(yàn),全文共分五章論述。第一章緒論。本章主要介紹資本資產(chǎn)定價(jià)理論的研究背景,及本文研究口的與研究方法的總體思路。第二章資本資產(chǎn)定價(jià)模型介紹。主要介紹CAPM模型的理論知識(shí)。第三章本文實(shí)證研究方法的確立。首先通過對(duì)國(guó)內(nèi)實(shí)證研究方面文獻(xiàn)做了較為詳細(xì)的分類比較,將國(guó)內(nèi)對(duì)CAPM實(shí)證檢驗(yàn)分為CAPM在中國(guó)股票市場(chǎng)的有效性問題研究、中國(guó)股票市場(chǎng)的風(fēng)險(xiǎn)結(jié)構(gòu)問題研究、有關(guān)β系數(shù)估計(jì)方面及β系數(shù)穩(wěn)定性研究三方面的文獻(xiàn)進(jìn)行綜述,然后將CAPM實(shí)證檢驗(yàn)方法分類,歸納總結(jié)了各種實(shí)證方法,并在研究比較的基礎(chǔ)上確立本文的相應(yīng)方法體系。第四章是中國(guó)股市CAPM的實(shí)證檢驗(yàn)。這一部分首先進(jìn)行組合β系數(shù)及其穩(wěn)定性研究,得到樣本期間β系數(shù)有較好的穩(wěn)定性。接著進(jìn)行樣本期間行業(yè)組合的預(yù)期收益率與口之間是否存在正線性相關(guān)關(guān)系檢驗(yàn),結(jié)果表明中國(guó)行業(yè)組合的預(yù)期收益率與β之間存在負(fù)相關(guān)關(guān)系。然后按照本文的實(shí)證方法對(duì)2007年6月6日-2010年6月4日的股票數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn),分析實(shí)證結(jié)果。第五章總結(jié)。在第四章得到實(shí)證結(jié)果的基礎(chǔ)上分析原因,進(jìn)一步分析中國(guó)股市近期的特點(diǎn)。 本文通過對(duì)樣本數(shù)據(jù)時(shí)間序列檢驗(yàn)及橫截面檢驗(yàn)結(jié)果分析顯示：(1)無風(fēng)險(xiǎn)利率為正,符合資本資產(chǎn)定價(jià)模型理論；(2)系統(tǒng)風(fēng)險(xiǎn)與預(yù)期收益率間并不存在如CAPM所揭示的正相關(guān)關(guān)系,而是一種負(fù)相關(guān)關(guān)系；(3)非系統(tǒng)風(fēng)險(xiǎn)對(duì)股票的收益也產(chǎn)生著重要影響。 從本文第三章第3.1節(jié)實(shí)證研究的文獻(xiàn)綜述看,國(guó)內(nèi)有許多學(xué)者對(duì)中國(guó)股市CAPM模型進(jìn)行過實(shí)證研究,有部分研究結(jié)論與本文的結(jié)論類似,但這些研究都是以部分股票數(shù)據(jù)或少數(shù)部分指數(shù)數(shù)據(jù)進(jìn)行研究,而本文是首次以股票市場(chǎng)中31個(gè)行業(yè)數(shù)據(jù)進(jìn)行研究,數(shù)據(jù)分組是以自然結(jié)構(gòu)分組,沒有人為選擇和分類的主觀性,并且數(shù)據(jù)類別多,數(shù)據(jù)包含的信息更加全面。
[Abstract]:The capital asset pricing model (CAPM The Capital Assets Pricing Mode) is described in the investment market equilibrium expected return of risk assets ratio relationship between risk, given the risk assets equilibrium price.CAPM plays a very important role in the process of establishing the portfolio, with the continuous development of China's stock market, CAPM the model application in China will be increasingly expanded, so in our country a new capital market on the CAPM test the applicability and effectiveness is very necessary.
In this paper, from June 2007 to June 2010 China stock market 31 industry data, mainly carries on two aspects, one is the research on portfolio beta coefficient and its stability; the two is the empirical test of CAPM of the sample data. The expected rate of return and beta coefficient of empirical research firstly combined the test to ask whether there is a positive correlation between the then, analysis of the industry beta coefficient, and time sequence test and cross section test. The characteristics of the stock market China CAPM trying to make an analysis, and put forward their own views. The main export is: (1) An Empirical Study on the relationship between risk and return in the stock market in recent years Chinese data, in after years of development, CAPM model will effectively change, whether it is suitable for the Chinese stock market. (2) analysis of the characteristics of Chinese stock market.
Methods in this paper, the general idea is to make empirical test to the industry group China stock market CAPM, this thesis consists of five chapters. The first chapter is the introduction. This chapter mainly introduces the research background of the capital asset pricing theory, this paper studies the general idea and export and research methods. The second chapter introduces the theory of capital asset pricing model. Introduces the CAPM model. The establishment of the third chapter of this paper, empirical research methods. Based on empirical research on domestic literature to do a more detailed classification and comparison, the domestic CAPM is divided into empirical test on the validity of CAPM in China stock market, research on the risk structure of stock market China, the beta coefficient estimation and the beta coefficient stability of three is reviewed, and then the classification of CAPM empirical method, summarizes the various empirical methods and comparative research in On the basis of establishing the system of corresponding methods in this paper. The fourth chapter is the empirical test of the stock market China CAPM. This part of the first study of beta coefficient and its stability, get the sample period of beta coefficient has better stability. Whether or not there is a linear relationship between the test followed by industry portfolio expected return rate of the sample period and the results show that, there is a negative correlation between Chinese industry portfolio expected rate of return and beta. Then according to the empirical method in this paper, the stock data on the June 6, 2007 -2010 year in June 4th for empirical research, the empirical analysis results. The fifth chapter summarizes the empirical results obtained. Analysis based on the fourth chapter, further analysis China recent stock market characteristics.
Based on the time series data test and cross section test results showed that: (1) the risk-free interest rate is positive, consistent with the theory of capital asset pricing model; (2) the system risk and the expected rate of return is not positively correlated as revealed by CAPM, but a negative correlation; (3) income the non system risk of the stock also has an important influence.
From the literature review in the third chapter, Section 3.1 empirical research, there are many domestic scholars have done empirical research on the stock market China CAPM model, the conclusion and the conclusion of this research, but these studies are conducted to study some stock data or a few index data, and this is the first time in 31 industries the data in the stock market research, the data packet is the natural structure of block, no artificial selection and classification of subjectivity, and data types, data contains more comprehensive information.

【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 周鑫;資本資產(chǎn)定價(jià)模型及其擴(kuò)展模型的實(shí)證比較研究[D];貴州財(cái)經(jīng)大學(xué);2013年

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本文編號(hào)：1401134