机构地区: 南京财经大学经济学院
出 处: 《兰州大学学报(社会科学版)》 2004年第6期92-94,共3页
摘 要: 选择截至1996年底在上海证券交易所上市的具有较长交易历史的215家A股上市公司的股票为研究对象,以2001、2003年为分析期,并选择上海证券交易所股价指数系列中的上证A股指数为市场综合指数,采用资本资产定价模型(CAPM),用计量经济方法对我国股票市场的风险、收益的关系进行统计分析。研究分析结果表明:沪市系统风险与收益率存在一定的正相关关系,但并不是资本资产定价模型(CAPM)所描述的线性关系。 This paper has studied the stocks of 215 companies which had gone public in the Shanghai Stock Exchange before the end of 1997. The period for analysis is 2001 to 2003 and the CAPM has been used to measure econometrically the relationships between the risks and returns. The results showed that a positive correlation exists between the risks and yield in Shanghai Stock Exchange but not a linear relationship as described by the CAPM.
领 域: [经济管理]