股票市场中的大宗商品风险因子定价研究

发布时间：2018-04-09 23:01

本文选题：资产定价　切入点：大宗商品风险因子　出处：《复旦大学》2013年硕士论文

【摘要】：大宗商品作为工业生产中不可或缺的原材料,其价格变化通过各种渠道传导对股票市场中上市公司股价有一定影响。本文主要目的是研究大宗商品价格波动对我国上海证券交易所A股收益是否有影响,利用资本资产定价模型的理论框架,将大宗商品价格因子作为资产定价模型的一个因子定价,检验了大宗商品价格波动对股票收益的影响。资产定价模型在不断发展,从传统资本资产定价模型到因子模型,在不同的股票市场中都有不同的适用性。本文首先从理论上梳理和推导了CAPM模型、F-F因子模型并采用资产定价模型检验的经典方法Fama-French时间序列检验和Fama Macbeth横截面检验验证了各个资产定价模型在我国上证A股市场上的有效性。其次,在已有资产定价理论的基础上加入了大宗商品价格因子进行推导,得出了一个包含大宗商品价格因子的资产定价模型。将加入大宗商品因子模型之后的资产定价模型进行检验,发现大宗商品因子与其他因子如市值因子、账面市值比因子等并不存在自相关性,表明大宗商品价格因子不能被其他因子所代替,是独立影响我国股票市场收益的因子。最后,将加入大宗商品因子的资产定价模型与传统的资产定价模型相比较,发现加入大宗商品因子后,模型的拟合度和显著性都有一定程度的提高,这表明大宗商品价格波动对我国股票市场收益确实存在一定影响,但其提高的幅度不是太大,这说明在上海证券A股市场上,大宗商品价格波动对股票收益的影响相比市值等因子对股票收益的影响而言,还比较有限。
[Abstract]:As an indispensable raw material in industrial production, commodity prices change through various channels to influence the stock prices of listed companies in the stock market.The main purpose of this paper is to study whether the fluctuation of commodity prices has an impact on the A-share returns of Shanghai Stock Exchange, and to use the theoretical framework of the capital asset pricing model.The commodity price factor is used as a factor in the asset pricing model to test the impact of commodity price volatility on stock returns.Asset pricing model is developing continuously, from traditional capital asset pricing model to factor model, it has different applicability in different stock market.In this paper, the F-F factor model of CAPM model is theoretically summarized and deduced, and the classical methods of asset pricing model test, Fama-French time series test and Fama Macbeth cross-section test, are used to verify the asset pricing models in Shanghai Stock Exchange of China.Effectiveness in the stock market.Secondly, on the basis of the existing asset pricing theory, the commodity price factor is added to deduce, and an asset pricing model containing commodity price factor is obtained.After testing the asset pricing model after adding the commodity factor model, it is found that there is no autocorrelation between the commodity factor and other factors such as market value factor, book market value ratio factor, etc.It shows that the commodity price factor can not be replaced by other factors, and it is an independent factor that affects the stock market returns in China.Finally, by comparing the asset pricing model with commodity factor and traditional asset pricing model, it is found that the fitting degree and significance of the model are improved to a certain extent after the addition of commodity factor.This shows that the fluctuation of commodity prices does have a certain impact on the return of China's stock market, but the extent of its increase is not too large. This shows that in the Shanghai stock A-share market,The impact of commodity price volatility on stock returns is more limited than that of market value and other factors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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