从目前我国金融市场运行来看,即使在起步不长的中国证券投资活动中,这一模型的应用也成为有关学者热衷讨论的话题。本文用SPSS软件对上海证券市场的数据进行实证分析,一方面基于统计回归方法用资本资产定价模型选择适合的市场组合指数,另一方面以选取出来的市场组合指数为样本,采用单位根检验和随机游程两种方法,从不同的角度检验我国上海证券市场的有效性,结果表明我国上海证券市场已经达到了弱势有效。 Judging from the current operation of China’s financial market, the application of this model has become a topic that scholars are keen to discuss even in the short run of securities investment in China. This paper uses SPSS software to make an empirical analysis on the data of Shanghai stock market. On the one hand, it chooses a suitable market portfolio index based on statistical regression method with the capital asset pricing model. On the other hand, using the selected market portfolio index as a sample, The results show that the Shanghai securities market in China has reached a weak and effective level.