CAPM模型在中国资本市场的有效性检验.docx
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CAPM模型在中国资本市场的有效性检验
证券投资分析作业
CAPM模型在中国资本市场的有效性检验
1、数据选取
此次实验主要考察CAPM模型在中国电力行业是否适用,因此随机抽取了电力行业的十只股票(时间段为2010年1月1日—2010年12月31日),分别为
股票代码
股票简称
股票代码
股票简称
002039
黔源电力
600101
明星电力
600116
三峡水利
600292
九龙电力
600310
桂东电力
600452
涪陵电力
600505
西昌电力
600644
乐山电力
600674
川投能源
600969
郴电国际
选取沪深300指数为综合指数,选取2010年的国债的利率作为无风险资产的收益率(0.025)。
2、β系数的确定
CAPM模型中,β系数可以表述为:
Ri–Rf=αi+βi(Rm-Rf)+εi,其中Ri为每一种证券的收益率,Rf为无风险收益率,Rm为市场收益率。
使用Eviews软件对每只股票每日风险溢价与市场组合风险溢价进行回归,得到每只股票的β值。
如下:
(1)黔源电力
DependentVariable:
Y
Method:
LeastSquares
Date:
12/26/11Time:
16:
35
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.008685
0.002294
-3.786006
0.0002
X
0.616613
0.076324
8.078883
0.0000
R-squared
0.214509
Meandependentvar
-0.024413
AdjustedR-squared
0.211223
S.D.dependentvar
0.021210
S.E.ofregression
0.018838
Akaikeinfocriterion
-5.097652
Sumsquaredresid
0.084811
Schwarzcriterion
-5.068732
Loglikelihood
616.2670
F-statistic
65.26835
Durbin-Watsonstat
1.914885
Prob(F-statistic)
0.000000
(2)明星电力
DependentVariable:
Y2
Method:
LeastSquares
Date:
12/26/11Time:
16:
46
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.032526
0.007661
-4.245595
0.0000
X
-0.215975
0.254892
-0.847320
0.3977
R-squared
0.002995
Meandependentvar
-0.027017
AdjustedR-squared
-0.001177
S.D.dependentvar
0.062873
S.E.ofregression
0.062910
Akaikeinfocriterion
-2.685947
Sumsquaredresid
0.945894
Schwarzcriterion
-2.657027
Loglikelihood
325.6566
F-statistic
0.717951
Durbin-Watsonstat
1.196603
Prob(F-statistic)
0.397665
(3)三峡水利
DependentVariable:
Y3
Method:
LeastSquares
Date:
12/26/11Time:
16:
48
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.029398
0.004289
-6.853614
0.0000
X
-0.160104
0.142712
-1.121869
0.2630
R-squared
0.005238
Meandependentvar
-0.025314
AdjustedR-squared
0.001076
S.D.dependentvar
0.035242
S.E.ofregression
0.035223
Akaikeinfocriterion
-3.845971
Sumsquaredresid
0.296518
Schwarzcriterion
-3.817051
Loglikelihood
465.4395
F-statistic
1.258591
Durbin-Watsonstat
1.523152
Prob(F-statistic)
0.263044
(4)九龙电力
DependentVariable:
Y4
Method:
LeastSquares
Date:
12/26/11Time:
16:
50
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.023708
0.004362
-5.434675
0.0000
X
-0.003584
0.145136
-0.024693
0.9803
R-squared
0.000003
Meandependentvar
-0.023616
AdjustedR-squared
-0.004182
S.D.dependentvar
0.035747
S.E.ofregression
0.035821
Akaikeinfocriterion
-3.812283
Sumsquaredresid
0.306677
Schwarzcriterion
-3.783363
Loglikelihood
461.3801
F-statistic
0.000610
Durbin-Watsonstat
1.598474
Prob(F-statistic)
0.980321
(5)桂东电力
DependentVariable:
Y5
Method:
LeastSquares
Date:
12/26/11Time:
16:
52
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.027401
0.003728
-7.351010
0.0000
X
-0.174539
0.124019
-1.407360
0.1606
R-squared
0.008219
Meandependentvar
-0.022949
AdjustedR-squared
0.004069
S.D.dependentvar
0.030672
S.E.ofregression
0.030609
Akaikeinfocriterion
-4.126758
Sumsquaredresid
0.223927
Schwarzcriterion
-4.097838
Loglikelihood
499.2743
F-statistic
1.980662
Durbin-Watsonstat
1.567083
Prob(F-statistic)
0.160620
(6)涪陵电力
DependentVariable:
Y6
Method:
LeastSquares
Date:
12/26/11Time:
16:
53
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.027569
0.009995
-2.758287
0.0063
X
0.028673
0.332537
0.086226
0.9314
R-squared
0.000031
Meandependentvar
-0.028300
AdjustedR-squared
-0.004153
S.D.dependentvar
0.081904
S.E.ofregression
0.082074
Akaikeinfocriterion
-2.154127
Sumsquaredresid
1.609937
Schwarzcriterion
-2.125208
Loglikelihood
261.5723
F-statistic
0.007435
Durbin-Watsonstat
1.109620
Prob(F-statistic)
0.931359
(7)西昌电力
DependentVariable:
Y7
Method:
LeastSquares
Date:
12/26/11Time:
16:
55
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.026434
0.004241
-6.233043
0.0000
X
0.016241
0.141098
0.115107
0.9085
R-squared
0.000055
Meandependentvar
-0.026848
AdjustedR-squared
-0.004128
S.D.dependentvar
0.034753
S.E.ofregression
0.034825
Akaikeinfocriterion
-3.868717
Sumsquaredresid
0.289849
Schwarzcriterion
-3.839798
Loglikelihood
468.1804
F-statistic
0.013250
Durbin-Watsonstat
1.452457
Prob(F-statistic)
0.908457
(8)乐山电力
DependentVariable:
Y8
Method:
LeastSquares
Date:
12/26/11Time:
16:
56
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.028174
0.003964
-7.107256
0.0000
X
-0.171916
0.131888
-1.303503
0.1937
R-squared
0.007059
Meandependentvar
-0.023789
AdjustedR-squared
0.002905
S.D.dependentvar
0.032599
S.E.ofregression
0.032552
Akaikeinfocriterion
-4.003721
Sumsquaredresid
0.253245
Schwarzcriterion
-3.974802
Loglikelihood
484.4484
F-statistic
1.699119
Durbin-Watsonstat
1.733619
Prob(F-statistic)
0.193657
(9)川投能源
DependentVariable:
Y9
Method:
LeastSquares
Date:
12/26/11Time:
16:
58
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.028579
0.003039
-9.402725
0.0000
X
-0.144156
0.101126
-1.425514
0.1553
R-squared
0.008431
Meandependentvar
-0.024902
AdjustedR-squared
0.004282
S.D.dependentvar
0.025013
S.E.ofregression
0.024959
Akaikeinfocriterion
-4.534903
Sumsquaredresid
0.148885
Schwarzcriterion
-4.505984
Loglikelihood
548.4558
F-statistic
2.032090
Durbin-Watsonstat
1.710352
Prob(F-statistic)
0.155313
(10)郴电国际
DependentVariable:
Y10
Method:
LeastSquares
Date:
12/26/11Time:
16:
59
Sample:
1241
Includedobservations:
241
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-0.022969
0.003915
-5.866217
0.0000
X
0.072408
0.130268
0.555835
0.5788
R-squared
0.001291
Meandependentvar
-0.024816
AdjustedR-squared
-0.002888
S.D.dependentvar
0.032105
S.E.ofregression
0.032152
Akaikeinfocriterion
-4.028440
Sumsquaredresid
0.247062
Schwarzcriterion
-3.999520
Loglikelihood
487.4270
F-statistic
0.308952
Durbin-Watsonstat
1.756510
Prob(F-statistic)
0.578844
3、用求出的10只股票的β值与十只股票的平均收益率进行回归,如下:
DependentVariable:
YY
Method:
LeastSquares
Date:
12/26/11Time:
17:
27
Sample:
110
Includedobservations:
10
Variable
Coefficient
Std.Error
t-Statistic
Prob.
C
-5.47E-05
0.000603
-0.090685
0.9300
XX
1.30E-05
0.002598
0.005022
0.9961
R-squared
0.000003
Meandependentvar
-5.49E-05
AdjustedR-squared
-0.124996
S.D.dependentvar
0.001796
S.E.ofregression
0.001905
Akaikeinfocriterion
-9.511885
Sumsquaredresid
2.90E-05
Schwarzcriterion
-9.451368
Loglikelihood
49.55942
F-statistic
2.52E-05
Durbin-Watsonstat
2.042840
Prob(F-statistic)
0.996116
即样本回归方程为
Yt=-5.47E-05+1.30E-05+εi
4、统计检验
r2=0.000003,说明仅有总离差平方和的0.003%被样本回归直线解释,回归直线对样本点的拟合优度非常低。
给出显着性水平α=0.05,P>α,t检验不能通过;F检验也不能通过。
从以上的检验可以看出,此模型没有通过各种检验,拟合不好,不能代表x与y的关系。
5、结论
通过分析可以看出,CAPM模型对我国资本市场上的电力行业不适用,通过更多的分析可以得出,CAPM模型对我国资本市场是无效的。
我国资本市场是政策导向型市场,采用核准制度,是计划经济的产物,资本市场还没有实现市场完全控制,资本未达到自由流动,还存在信息不对称、经济发展程度落后于发达国家、国际金融环境恶化等现象,加之CAPM模型的假设条件比较苛刻,因此在中国资本市场上应用这一模型极为困难。