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本文选取了2008年至2010年间深圳A股市场的20只样本股票的日平均收益率和同期的深圳A股的综合收益率数据作为市场收益率的代理变量进行资本资产模型的分析,采用Fama and Macbeth模型进行CAPM的横截面检验和采用BJS检验进行时间序列的检验。本文实证研究的结果表明CAPM模型并不适用于中国深圳的A股市场。分析原因是中国的资本市场还是一个不健全的资本市场,资本市场结构很不健全,资本市场的外部监管并没有有效地提高资本市场效率,即中国的资本市场还是一个弱势有效市场或者半强有效市场。
This paper chooses the daily average yield of 20 sample stocks in Shenzhen A-share market and the comprehensive return rate of Shenzhen A-share in the same period from 2008 to 2010 as the proxy for the market rate of return. Macbeth model for cross-sectional CAPM test and the use of BJS test time series test. The empirical results show that the CAPM model does not apply to the A-share market in Shenzhen, China. The reason for the analysis is that China’s capital market is still an imperfect capital market and the capital market structure is not perfect. The external regulation of the capital market has not effectively raised the capital market efficiency. That is, the capital market in China is still a weak and effective market or a semi-effective market.