| 基于有效集检验CAPM对中国股票市场的有效性 |
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| 引用本文： | 杨丹.基于有效集检验CAPM对中国股票市场的有效性[J].大众商务,2010(10):10-11. |
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| 作者姓名： | 杨丹 |
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| 作者单位： | 陕西广播电视大学; |
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| 摘 要： | 资本资产定价模型(CAPM)有效性的主要假设是市场组合位于全局均值-方差有效集上,有效集理论可用来对CAPM的有效性进行检验。本文利用沪深股市1991～2008年的数据对CAPM在中国股票市场的有效性进行了检验,综合检验的结果表明:中国股票市场趋于有效。
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| 关 键 词： | 有效集 CAPM 股票市场 有效性检验 |
CAPM Effectiveness Test in Chinese Stock Market Based on Effective Set |
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| YANG Dan.CAPM Effectiveness Test in Chinese Stock Market Based on Effective Set[J].popular business,2010(10):10-11. |
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| Authors: | YANG Dan |
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| Institution: | YANG Dan(Shaanxi Radio & TV University,Shaanxi,Xi\'an,China 710068) |
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| Abstract: | The main assumption of CAPM effectiveness is that the market portfolio is located in the overall mean -variance efficient set up. Effective Set theory can be used to test the validity of CAPM. In this paper,the effectiveness of CAPM in Chinese stock market is tested by data in Shanghai and Shenzhen stock market from 1991 to 2008. Test result shows that the Chinese stock market tends to effective. |
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| Keywords: | Effective Set CAPM Stock Market Effectiveness Test |
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