CAPM模型在中国资本市场的有效性检验.docx

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、 系数的确定CAPM模型中，系数可以表述为：Ri Rf =i + i( Rm - Rf) + i，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，得到每只股票的值。如下：（1）黔源电力Dependent Variable: YMethod: Least SquaresDate: 12/26/11 Time: 16:35Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0086850.002294-3.7860060.0002X0.6166130.0763248.0788830.0000R-squared0.214509Mean dependent var-0.024413Adjusted R-squared0.211223S.D. dependent var0.021210S.E. of regression0.018838Akaike info criterion-5.097652Sum squared resid0.084811Schwarz criterion-5.068732Log likelihood616.2670F-statistic65.26835Durbin-Watson stat1.914885Prob(F-statistic)0.000000（2）明星电力Dependent Variable: Y2Method: Least SquaresDate: 12/26/11 Time: 16:46Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0325260.007661-4.2455950.0000X-0.2159750.254892-0.8473200.3977R-squared0.002995Mean dependent var-0.027017Adjusted R-squared-0.001177S.D. dependent var0.062873S.E. of regression0.062910Akaike info criterion-2.685947Sum squared resid0.945894Schwarz criterion-2.657027Log likelihood325.6566F-statistic0.717951Durbin-Watson stat1.196603Prob(F-statistic)0.397665（3）三峡水利Dependent Variable: Y3Method: Least SquaresDate: 12/26/11 Time: 16:48Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0293980.004289-6.8536140.0000X-0.1601040.142712-1.1218690.2630R-squared0.005238Mean dependent var-0.025314Adjusted R-squared0.001076S.D. dependent var0.035242S.E. of regression0.035223Akaike info criterion-3.845971Sum squared resid0.296518Schwarz criterion-3.817051Log likelihood465.4395F-statistic1.258591Durbin-Watson stat1.523152Prob(F-statistic)0.263044（4）九龙电力Dependent Variable: Y4Method: Least SquaresDate: 12/26/11 Time: 16:50Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0237080.004362-5.4346750.0000X-0.0035840.145136-0.0246930.9803R-squared0.000003Mean dependent var-0.023616Adjusted R-squared-0.004182S.D. dependent var0.035747S.E. of regression0.035821Akaike info criterion-3.812283Sum squared resid0.306677Schwarz criterion-3.783363Log likelihood461.3801F-statistic0.000610Durbin-Watson stat1.598474Prob(F-statistic)0.980321（5）桂东电力Dependent Variable: Y5Method: Least SquaresDate: 12/26/11 Time: 16:52Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0274010.003728-7.3510100.0000X-0.1745390.124019-1.4073600.1606R-squared0.008219Mean dependent var-0.022949Adjusted R-squared0.004069S.D. dependent var0.030672S.E. of regression0.030609Akaike info criterion-4.126758Sum squared resid0.223927Schwarz criterion-4.097838Log likelihood499.2743F-statistic1.980662Durbin-Watson stat1.567083Prob(F-statistic)0.160620（6）涪陵电力Dependent Variable: Y6Method: Least SquaresDate: 12/26/11 Time: 16:53Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0275690.009995-2.7582870.0063X0.0286730.3325370.0862260.9314R-squared0.000031Mean dependent var-0.028300Adjusted R-squared-0.004153S.D. dependent var0.081904S.E. of regression0.082074Akaike info criterion-2.154127Sum squared resid1.609937Schwarz criterion-2.125208Log likelihood261.5723F-statistic0.007435Durbin-Watson stat1.109620Prob(F-statistic)0.931359（7）西昌电力Dependent Variable: Y7Method: Least SquaresDate: 12/26/11 Time: 16:55Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0264340.004241-6.2330430.0000X0.0162410.1410980.1151070.9085R-squared0.000055Mean dependent var-0.026848Adjusted R-squared-0.004128S.D. dependent var0.034753S.E. of regression0.034825Akaike info criterion-3.868717Sum squared resid0.289849Schwarz criterion-3.839798Log likelihood468.1804F-statistic0.013250Durbin-Watson stat1.452457Prob(F-statistic)0.908457（8）乐山电力Dependent Variable: Y8Method: Least SquaresDate: 12/26/11 Time: 16:56Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0281740.003964-7.1072560.0000X-0.1719160.131888-1.3035030.1937R-squared0.007059Mean dependent var-0.023789Adjusted R-squared0.002905S.D. dependent var0.032599S.E. of regression0.032552Akaike info criterion-4.003721Sum squared resid0.253245Schwarz criterion-3.974802Log likelihood484.4484F-statistic1.699119Durbin-Watson stat1.733619Prob(F-statistic)0.193657（9）川投能源Dependent Variable: Y9Method: Least SquaresDate: 12/26/11 Time: 16:58Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0285790.003039-9.4027250.0000X-0.1441560.101126-1.4255140.1553R-squared0.008431Mean dependent var-0.024902Adjusted R-squared0.004282S.D. dependent var0.025013S.E. of regression0.024959Akaike info criterion-4.534903Sum squared resid0.148885Schwarz criterion-4.505984Log likelihood548.4558F-statistic2.032090Durbin-Watson stat1.710352Prob(F-statistic)0.155313（10）郴电国际Dependent Variable: Y10Method: Least SquaresDate: 12/26/11 Time: 16:59Sample: 1 241Included observations: 241VariableCoefficientStd. Errort-StatisticProb.C-0.0229690.003915-5.8662170.0000X0.0724080.1302680.5558350.5788R-squared0.001291Mean dependent var-0.024816Adjusted R-squared-0.002888S.D. dependent var0.032105S.E. of regression0.032152Akaike info criterion-4.028440Sum squared resid0.247062Schwarz criterion-3.999520Log likelihood487.4270F-statistic0.308952Durbin-Watson stat1.756510Prob(F-statistic)0.5788443、用求出的10只股票的值与十只股票的平均收益率进行回归，如下：Dependent Variable: YYMethod: Least SquaresDate: 12/26/11 Time: 17:27Sample: 1 10Included observations: 10VariableCoefficientStd. Errort-StatisticProb.C-5.47E-050.000603-0.0906850.9300XX1.30E-050.0025980.0050220.9961R-squared0.000003