CAPM模型在資本市場的有效性檢驗

1、證券投資分析作業(yè)CAP模型在中國資本市場的有效性檢驗1、數(shù)據(jù)選取此次實驗主要考察CAP模型在中國電力行業(yè)是否適用，因此隨機抽取了電力行業(yè)的十只股票(時間段為2021年1月1日一2021年12月31日)，分別為股票代碼股票簡稱股票代碼股票簡稱002039:黔源電力600101明星電力600116三峽水利600292九龍電力600310桂東電力600452涪陵電力600505西昌電力600644樂山電力600674川投能源600969郴電國際選取滬深300指數(shù)為綜合指數(shù)，選取2021年的國債的利率作為無風險資產的收益率(0.025 )。2、B系數(shù)確實定CAP模型中，B系數(shù)可以表述為：Ri - Rf

2、= a i+ B i(Rm-Rf)+ £ i，其中Ri為每一種證券的收益率，Rf為無風險收益率，Rm為市場收益率。使用Eviews軟件對每只股票每日風險溢價與市場組合風險溢價進行回歸，得到每只 股票的B值。如下：(1 )黔源電力Depe nden tVariable:YMethod:LeastSquaresDate:12/26/11Time:16:35Sample:1241In cludedobservati on s:241VariableCoefficientStd.Errort-StatisticProb.C-0.0086850.002294-3.7860060.0002X0.

3、6166130.0763248.0788830.0000R-squaredAdjustedR-squared0.214509 Meandependentvar-0.0244130.021210S.E.ofregressi on0.018838Akaike in focriteri on-5.097652Sumsquaredresid0.084811Schwarzcriteri on-5.068732Loglikelihood616.2670F-statistic65.26835Durbi n-Wats on stat1.914885Prob(F-statistic)0.000000(2 )明星

4、電力Depe nden tVariable:Y2Method:LeastSquaresDate:12/26/11Time:16:46Sample:1241In cludedobservati on s:241CoefficieVariablentStd.Errort-StatisticProb.C-0.0325260.007661-4.2455950.0000X-0.2159750.254892-0.8473200.3977R-squared0.002995Mean depe nden tvar-0.027017AdjustedR-squared-0.001177S.D.depe nden t

5、var0.062873S.E.ofregressi on0.062910Akaike in focriteri on-2.685947Sumsquaredresid0.945894Schwarzcriteri on-2.657027Loglikelihood325.6566F-statistic0.717951Durbi n-Wats on stat1.196603Prob(F-statistic)0.397665(3 )三峽水利Depe nden tVariable:Y3Method:LeastSquaresDate:12/26/11Time:16:48Sample:1241In clude

6、dobservati on s:241CoefficieVariablentStd.Errort-StatisticProb.C-0.0293980.004289-6.8536140.0000X-0.1601040.142712-1.1218690.2630R-squared0.005238Mean depe nden tvar-0.025314AdjustedR-squared0.001076S.D.depe nden tvar0.035242S.E.ofregressi on0.035223Akaike in focriteri on-3.845971Sumsquaredresid0.29

7、6518Schwarzcriteri on-3.817051Loglikelihood465.4395F-statistic1.258591Durbi n-Wats on stat1.523152Prob(F-statistic)0.263044(4 )九龍電力Depe nden tVariable:Y4Method:LeastSquaresDate:12/26/11Time:16:50Sample:1241In cludedobservati on s:241CoefficieVariablentStd.Errort-StatisticProb.C-0.0237080.004362-5.43

8、46750.0000X-0.0035840.145136-0.0246930.9803R-squared0.000003Mean depe nden tvar-0.023616AdjustedR-squared-0.004182S.D.depe nden tvar0.035747S.E.ofregressi on0.035821Akaike in focriteri on-3.812283Sumsquaredresid0.306677Schwarzcriteri on-3.783363Loglikelihood461.3801F-statistic0.000610Durbi n-Wats on

9、 stat1.598474Prob(F-statistic)0.980321(5)桂東電力Depe nden tVariable:Y5Method:LeastSquaresDate:12/26/11Time:16:52Sample:1241In cludedobservati on s:241CoefficieVariablentStd.Errort-StatisticProb.C-0.0274010.003728-7.3510100.0000X-0.1745390.124019-1.4073600.1606R-squared0.008219Mean depe nden tvar-0.0229

10、49AdjustedR-squared0.004069S.D.depe nden tvar0.030672S.E.ofregressi on0.030609Akaike in focriteri on-4.126758Sumsquaredresid0.223927Schwarzcriteri on-4.097838Loglikelihood499.2743F-statistic1.980662Durbi n-Wats on stat1.567083Prob(F-statistic)0.160620(6 )涪陵電力Depe nden tVariable:Y6Method:LeastSquares

11、Date:12/26/11Time:16:53Sample:1241In cludedobservati on s:241CoefficieVariablentStd.Errort-StatisticProb.C-0.0275690.009995-2.7582870.0063X0.0286730.3325370.0862260.9314R-squared0.000031Mean depe nden tvar-0.028300AdjustedR-squared-0.004153S.D.depe nden tvar0.081904S.E.ofregressi on0.082074Akaike in

12、 focriteri on-2.154127Sumsquaredresid1.609937Schwarzcriteri on-2.125208Loglikelihood261.5723F-statistic0.007435Durbi n-Wats on stat1.109620Prob(F-statistic)0.931359(7)西昌電力Depe nden tVariable:Y7Method:LeastSquaresDate:12/26/11Time:16:55Sample:1241In cludedobservati on s:241CoefficieVariablentStd.Erro

13、rt-StatisticProb.C-0.0264340.004241-6.2330430.0000X0.0162410.1410980.1151070.9085R-squared0.000055Mean depe nden tvar-0.026848AdjustedR-squared-0.004128S.D.depe nden tvar0.034753S.E.ofregressi on0.034825Akaike in focriteri on-3.868717Sumsquaredresid0.289849Schwarzcriteri on-3.839798Loglikelihood468.

14、1804F-statistic0.013250Durbi n-Wats on stat1.452457Prob(F-statistic)0.908457(8 )樂山電力Depe nden tVariable:Y8Method:LeastSquaresDate:12/26/11Time:16:56Sample:1241In cludedobservati on s:241VariableCoefficie ntStd.Errort-StatisticProb.C-0.0281740.003964-7.1072560.0000X-0.1719160.131888-1.3035030.1937R-s

15、quared0.007059Mean depe nden tvar-0.023789AdjustedR-squared0.002905S.D.depe nden tvar0.032599S.E.ofregressi on0.032552Akaike in focriteri on-4.003721Sumsquaredresid0.253245Schwarzcriteri on-3.974802Loglikelihood484.4484F-statistic1.699119Durbi n-Wats on stat1.733619Prob(F-statistic)0.193657(9 )川投能源D

16、epe nden tVariable:Y9Method:LeastSquaresDate:12/26/11Time:16:58Sample:1241In cludedobservati on s:241VariableCoefficie ntStd.Errort-StatisticProb.C-0.0285790.003039-9.4027250.0000X-0.1441560.101126-1.4255140.1553R-squared0.008431Mean depe nden tvar-0.024902AdjustedR-squared0.004282S.D.depe nden tvar

17、0.025013S.E.ofregressi on0.024959Akaike in focriteri on-4.534903Sumsquaredresid0.148885Schwarzcriteri on-4.505984Loglikelihood548.4558F-statistic2.032090Durbi n-Wats on stat1.710352Prob(F-statistic)0.155313(10 )郴電國際Depe nde ntVariable:Y10Method:LeastSquaresDate:12/26/11Time:16:59Sample:1241In cluded

18、observati on s:241VariableCoefficientStd.Errort-StatisticProb.C-0.0229690.003915-5.8662170.0000X0.0724080.1302680.5558350.5788R-squared0.001291Mean depe nden tvar-0.024816AdjustedR-squared-0.002888S.D.depe nden tvar0.032105S.E.ofregressi on0.032152Akaike in focriteri on-4.028440Sumsquaredresid0.2470

19、62Schwarzcriteri on-3.999520Loglikelihood487.4270F-statistic0.308952Durbi n-Wats on stat1.756510Prob(F-statistic)0.5788443、用求出的10只股票的B值與十只股票的平均收益率進行回歸，如下:Depe nden tVariable:YYMethod:LeastSquaresDate:12/26/11Time:17:27Sample:110In cludedobservati on s:10CoefficieVariablentStd.Errort-StatisticProb.C-5.47E-050.000603-0.0906850.9300XX1.30E-050.0025980.0050220.9961R-squared0.000003Mean depe nden tv