| 基于上海股市的资本资产定价模型的实证检验 |
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| 引用本文： | 陈石清,帅富成. 基于上海股市的资本资产定价模型的实证检验[J]. 经济问题, 2009, 360(8) |
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| 作者姓名： | 陈石清 帅富成 |
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| 作者单位： | 中南林业科技大学,商学院,长沙,410004;中南林业科技大学,商学院,长沙,410004 |
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| 摘 要： | 鉴于资本资产定价模型对资产评估和资本定价的作用,以上海股票市场为对象,选取上证180指数中178家股票的相关数据,运用计量经济学的方法进行相关的资本资产定价模型的实证检验。结果显示:上海股票市场存在较大的投机行为,资本资产定价模型在上海股票市场还不适用,对于上海股票市场股票的定价还存在一定的困难。并就结论出现的原因给予了相关的解释。
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| 关 键 词： | 资本资产定价模型 上证180指数 股票市场 |
CAPM Empirical Analysis of the Shanghai Stock Market |
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| CHEN Shi-qing,SHUAI Fu-cheng. CAPM Empirical Analysis of the Shanghai Stock Market[J]. On Economic Problems, 2009, 360(8) |
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| Authors: | CHEN Shi-qing SHUAI Fu-cheng |
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| Affiliation: | School of Business;Central Eouth University of Forestry & Technology;Changsha 410004;China |
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| Abstract: | This paper gave us the empirical analysis for capm(capital asset prcing model) due to the effect to capital pricing and evaluation mersured by the ecometrics based on the data of 178 of index of Shanghai stock exchange 180 from the Shanghai stock market.The rusult illustrated that capm is no longer adequate perfectly and had some difficulties to price the stocks owing to the arbitrage in the Shanghai stock market.And then the author pointed out some issues of explaination. |
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| Keywords: | capital asset pricing model index of Shanghai stock exchange 180 stock market |
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