| 我国股市风险、收益关系的统计分析 |
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| 引用本文： | 郭存芝,凌亢. 我国股市风险、收益关系的统计分析[J]. 兰州大学学报(社会科学版), 2004, 32(6): 92-94 |
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| 作者姓名： | 郭存芝 凌亢 |
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| 作者单位： | 南京财经大学,经济学院,江苏,南京,210003;南京财经大学,经济学院,江苏,南京,210003 |
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| 摘 要： | 选择截至1996年底在上海证券交易所上市的具有较长交易历史的215家A股上市公司的股票为研究对象,以2001、2003年为分析期,并选择上海证券交易所股价指数系列中的上证A股指数为市场综合指数,采用资本资产定价模型(CAPM),用计量经济方法对我国股票市场的风险、收益的关系进行统计分析。研究分析结果表明:沪市系统风险与收益率存在一定的正相关关系,但并不是资本资产定价模型(CAPM)所描述的线性关系。
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| 关 键 词： | 中国股市 风险与收益关系 资本资产定价模型 |
| 文章编号： | 1000-2804(2004)06-0092-03 |
| 修稿时间： | 2001-05-16 |
A Statistical Analysis of the Risks and Returns in Chinese Stock Market |
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| GUO Cun-zhi LING Hang. A Statistical Analysis of the Risks and Returns in Chinese Stock Market[J]. Journal of Lanzhor University(Social Sciences), 2004, 32(6): 92-94 |
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| Authors: | GUO Cun-zhi LING Hang |
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| Abstract: | This paper has studied the stocks of 215 companies which had gone public in the Shanghai Stock Exchange before the end of 1997. The period for analysis is 2001 to 2003 and the CAPM has been used to measure econometrically the relationships between the risks and returns. The results showed that a positive correlation exists between the risks and yield in Shanghai Stock Exchange but not a linear relationship as described by the CAPM. |
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| Keywords: | ock market in China relationship between risks and returns CAPM statistical analysis |
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