以行业分组对中国股市CAPM模型的实证检验

发布时间：2018-01-09 11:05

本文关键词：以行业分组对中国股市CAPM模型的实证检验　出处：《广西师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：资本资产定价模型CAPM (The Capital Assets Pricing Mode)是描述在投资市场均衡状态下风险资产期望收益率与风险之间的相互关系,给出了风险资产的均衡价格。CAPM在建立投资组合过程中起着非常重要的作用,随着我国股票市场的不断发展壮大,CAPM模型在我国的应用范围也将日益扩大,因此在我国这样一个新兴的资本市场上检验CAPM的适用性和有效性是非常必要的。本文选取2007年6月至2010年6月的中国股票市场31个行业数据,主要进行两方面的研究,一是对组合β系数及其稳定性研究；二是对样本数据进行CAPM实证检验。实证检验方面首先进行组合的预期收益率与β系数之问是否存在正线性相关关系的检验,接者对行业β系数进行结果分析,然后进行时间序列检验及横截面检验。试图对中国股市的CAPM特点作分析,并提出自己的观点。主要口的是：(1)用中国股市近几年的数据进行的风险与收益关系的实证研究,在经历多年不断发展,CAPM模型的有效将将发生怎样的变化,是否适合中国股票市场。(2)分析中国股市的特点。本文研究方法总体思路是对以行业分组的中国股市的CAPM进行实证检验,全文共分五章论述。第一章绪论。本章主要介绍资本资产定价理论的研究背景,及本文研究口的与研究方法的总体思路。第二章资本资产定价模型介绍。主要介绍CAPM模型的理论知识。第三章本文实证研究方法的确立。首先通过对国内实证研究方面文献做了较为详细的分类比较,将国内对CAPM实证检验分为CAPM在中国股票市场的有效性问题研究、中国股票市场的风险结构问题研究、有关β系数估计方面及β系数稳定性研究三方面的文献进行综述,然后将CAPM实证检验方法分类,归纳总结了各种实证方法,并在研究比较的基础上确立本文的相应方法体系。第四章是中国股市CAPM的实证检验。这一部分首先进行组合β系数及其稳定性研究,得到样本期间β系数有较好的稳定性。接着进行样本期间行业组合的预期收益率与口之间是否存在正线性相关关系检验,结果表明中国行业组合的预期收益率与β之间存在负相关关系。然后按照本文的实证方法对2007年6月6日-2010年6月4日的股票数据进行实证检验,分析实证结果。第五章总结。在第四章得到实证结果的基础上分析原因,进一步分析中国股市近期的特点。本文通过对样本数据时间序列检验及横截面检验结果分析显示：(1)无风险利率为正,符合资本资产定价模型理论；(2)系统风险与预期收益率间并不存在如CAPM所揭示的正相关关系,而是一种负相关关系；(3)非系统风险对股票的收益也产生着重要影响。从本文第三章第3.1节实证研究的文献综述看,国内有许多学者对中国股市CAPM模型进行过实证研究,有部分研究结论与本文的结论类似,但这些研究都是以部分股票数据或少数部分指数数据进行研究,而本文是首次以股票市场中31个行业数据进行研究,数据分组是以自然结构分组,没有人为选择和分类的主观性,并且数据类别多,数据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.

【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【引证文献】