1、After the data reprocession, we establish the equation of simple linear regression analysis following the CAPM theory:Rjt represents the return rate of portfolio j at day t (telecom j=1, banking j=2), Rft is the risk free rate at day t, Rmt is the return of market portfolio at day t, jt is the error
2、 term of portfolio j at day t, j and j are the coefficients which will be estimated.2. Regression Equation2.1. Regression Equation of Telecom PortfolioThe econometric model of CAPM for telecom portfolio is presented as below:Empoly R1t-Rft and Rmt-Rft as the two variables (y1 and x) to estimate the
3、equation in Eviews, the result is expressed as: Table 1 Result of Linear Regression of Telecom PortfolioIf we use a1 and b1 to represent the estimated value of 1 and 1, the fitted regression equation of telecom portfolio is:It should be noticed that r-square of this equation is 18.37%, which means 1
4、8.37% data can be explained by the regression analysis. Since 0b11, the banking portfolio is an aggressive portfolio which has greater volatility than the market portfolio. Since a2= 0.00016, the banking portfolio has extra return beside the risk free asset, but it is almost 0.3. Hypothesis Test of
5、Fitted Regression Equation3.1. Hypothesis Test of 1If we assume the hypothesis about 1 as:H0: 1=0 There are no extra returns over the return of risk free asset which can be made from telecom portfolioH1: 10 There are extra returns over the return of risk free asset which can be made from telecom por
6、tfolioThen, set up the significant level at 5%. There are two way to process the hypothesis test. The testing procedure is as below:(1) P-value TestP-value is the possibility that we get the current estimate when the null hypothesis is true, 1=0. According to Table 1, the p-value of 1 is 17.85%, whi
7、ch is greater than significant level. We fail to reject the null hypothesis under the significant level is 5%.(2) Two-tailed T-statistic TestApply the same hypothesis, we calculate the t-statistic value of 1 employing the formula as below, which also can be gained from Table 1:Based on the hypothesi
8、s H0: 1=0 and H1: 10, two-tailed test will be more suitable for this test rather then one-tailed test. Then, the t-critical value of two-tailed test, |tcritical|=1.960878, which can be gained under the condition: 5% significant level, 2.5% on each rejection region, 2600 observations, 2 degree of fre
9、edom and 2 variables. It is obvious that |t1|significant level or |tstatistic|tcritical|, the null hypothesis will be failed to reject, H0 can be accpeted (1=0). It indicates that the return of telecom portfolio tends to be related to the risk premium of market portfolio significantly, 1 has less co
10、ntribution on influencing the dependent variable y1. In another word, people have less chance to earn investing return more than the return of risk free asset when the risk premium of market portfolio is equal to 0.3.2. Hypothesis Test of 2The hypothesis about 2 is: 2=0 There are no extra returns ov
11、er the return of risk free asset which can be made from banking portfolio 20 There are extra returns over the return of risk free asset which can be made from banking portfolioThen, the significant level remains at 5%. The p-value of 2 is 99.19% (See Table 2), which is distinctly greater than signif
12、icant level. It should accept the null hypothesis when the significant level is 5%.Apply the same hypothesis, we calculate the t-statistic value of 2 employing the formula as below, which is also expressed in Table 2:Compared with t-critical value of two-tailed test under the same condition, |tcriti
13、cal|=1.960878. Because |t2|tcritical|, we reject the null hypothesis. (2) DiscussionWhen |tstatistic|tcritical|, the null hypothesis will be rejected. In this two-tailed test, the null hypothesis is 1=1. If we reject that, it means that the telecom portfolio is not tracking portfolio which tracks th
14、e market portfolio exactly. 3.4. Hypothesis Test of 2, 21The hypothesis about 2 is: 2=1 The banking portfolio is a tracking portfolio which tracks the market portfolio exactly 21 The banking portfolio is not a tracking portfolio which tracks the market portfolio exactlyThe t-statistic value of 2 is
15、as below:Becasue tcritical is equal to 1.960878, |t2|tcritical|, we reject the null hypothesis under the specific condition. We fail to reject the null hypothesis, the banking portfolio is not tracking portfolio which tracks the market portfolio exactly. But there is another issue we should mention,
16、 these two-tailed tests about 1 and 2 only conclude that 11 and 21 under a specific condition as we have expressed before, while the other hypotheses about1 and 2 have not been tested, such as 11, 011, 1=0, -11 2=1 The telecom portfolio is a tracking portfolio which tracks the market portfolio exact
17、ly 21 The telecom portfolio is an aggressive portfolio which has greater volatility than the market portfolio(1) One-tailed T-statistic TestAccording to the hypothesis, the testing method prefers to the one-tailed test rather than the two-tailed test. Recall the condition of t-statistic test, the si
18、gnificant level is 5%, instead of 2.5% on each rejection region of two-tailed test, one-tailed test sets 5% on one rejection region. As we have calculated that the t-statistic value of 2 is 4.515676. While the t-critical value of one-tailed test has changed to 1.64544. It is significant that |t2|tcritical|, which means that we can reject of the null hypothesis about 2.(2) Discussion and SummarySince we have rejected the null hypothesis of 2, 21 is acceptable. In the context of CAPM, the banking portfolio is more like an aggressiv
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