capm模型在中国资本市场的有效性检验

1、证券投资分析作业CAP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CAP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()。2、p系数的确定£ i，其中CAP模型中，P系数可以表述为：

2、 Ri - Rf = a i + p i( Rm - Rf) +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P值。如下:(1) 黔源电力Dependent Variable: YMethod: Least SquaresDate: 12/26/11 Time: 16:35Sam pie: 1 241In cluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CXR-squaredAdjusted R-

3、squared .of regressi onSum squared resid Log likelihoodDurbi n-Watson stat?Mean dependen t var ?. depen de nt var ?Akaike info criterio n ?Schwarz criterio n ?F-statistic ? Prob(F-statistic)X(2) 明星电力Dependent Variable: Y2R-squaredAdjusted R-squared .of regressi onSum squared resid Log likelihoodDurb

4、i n-Watson statMethod: Least SquaresDate: 12/26/11 Time: 16:46Sam ple: 1 241In cluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CX?Mean dependen t var ?. depen de nt var ?Akaike info criterio n ?Schwarz criterio n ?F-statistic ? Prob(F-statistic)(3) 三峡水利Dependent Variable: Y3

5、Method: Least SquaresDate: 12/26/11 Time: 16:48Sam pie: 1 241R-squaredAdjusted R-squared .of regressi onSum squared resid Log likelihoodDurbi n-Watson statIn cluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CX?Mean dependen t var ?. depen de nt var ?Akaike info criterio n ?Sc

6、hwarz criterio n ?F-statistic ? Prob(F-statistic)(4) 九龙电力Dependent Variable: Y4Method: Least SquaresDate: 12/26/11 Time: 16:50Sam pie: 1 241In cluded observati ons: 241VariableCoefficie ntStd. Errort-Statistic P rob.?R-squaredAdjusted R-squared .of regressi onSum squared resid Log likelihood Durbi n

7、-Watson stat?Mean dependen t var ?. depen de nt var ?Akaike info criterio n ?Schwarz criterio n ?F-statistic ? Prob(F-statistic)(5)桂东电力Dependent Variable: Y5Method: Least SquaresDate: 12/26/11 Time: 16:52Sam pie: 1 241In eluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CXR-sq

8、uared?Mean dependen t varAdjusted R-squared?. depen de nt var.of regressi on?Akaike info criterio nSum squared resid?Schwarz criterio nLog likelihood?F-statisticDurbi n-Watson stat? Prob(F-statistic)(6)涪陵电力Dependent Variable: Y6Method: Least SquaresDate: 12/26/11 Time: 16:53Sam pie: 1 241In eluded o

9、bservati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CXR-squared?Mean dependen t varAdjusted R-squared?. depen de nt var.of regressi on?Akaike info criterio nSum squared resid?Schwarz criterio nLog likelihood?F-statisticDurbi n-Watson stat? Prob(F-statistic)(7)西昌电力Dependent Variable: Y7M

10、ethod: Least SquaresDate: 12/26/11 Time: 16:55Sam pie: 1 241In eluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CXR-squared?Mean dependen t varAdjusted R-squared?. depen de nt var.of regressi on?Akaike info criterio nSum squared resid?Schwarz criterio nLog likelihood?F-statis

11、ticDurbi n-Watson stat? Prob(F-statistic)(8)乐山电力Dependent Variable: Y8Method: Least SquaresDate: 12/26/11 Time: 16:56Sam ple: 1 241In eluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?CXR-squared?Mean dependen t varAdjusted R-squared?. depen de nt var.of regressi on?Akaike inf

12、o criterio nSum squared resid?Schwarz criterio nLog likelihood?F-statisticDurbi n-Watson stat? Prob(F-statistic)(9)川投能源Dependent Variable: Y9Method: Least SquaresDate: 12/26/11 Time: 16:58Sam ple: 1 241In eluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?XR-squaredAdjusted R-s

13、quared .of regressi onSum squared resid Log likelihoodDurbi n-Watson statR-squaredAdjusted R-squared .of regressi onSum squared resid Log likelihood Durbi n-Watson stat?Mean dependen t var ?. depen de nt var ?Akaike info criterio n ?Schwarz criterio n ?F-statistic ? Prob(F-statistic)(10)郴电国际Dependen

14、t Variable: Y10Method: Least SquaresDate: 12/26/11 Time: 16:59Sam pie: 1 241In cluded observati ons: 241VariableCoefficie ntStd. Errort-StatisticP rob.?Mean dependen t var ?. depen de nt var ?Akaike info criterio n ?Schwarz criterio n ?F-statistic ? Prob(F-statistic)3、用求出的10只股票的P值与十只股票的平均收益率进行回归，如下:

15、Dependent Variable: YYMethod: Least SquaresDate: 12/26/11 Time: 17:27Samp le: 1 10In eluded observati ons: 10VariableCoefficie ntStd. Errort-StatisticP rob.?CXXR-squared?Mean dependen t varAdjusted R-squared?. depen de nt var.of regressi on?Akaike info criterio nSum squared resid?Schwarz criterio nLog likelihood?F-statisticDurbi n-Watson stat? Prob(F-statistic)即样本回归方程为Yt = E-05 + E-05 +£ i 4、统计检验r2 = ，说明仅有总离差平方和的 %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a =， P>a，t检验不能通过；F检验