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我国股票市场在经过十多年的迅速发展,现已跻身最重要的新兴市场之列,虽然有很大的发展,但是在发展过程中也暴露了一些问题。在这一背景下,对我国股票市场的效率(有效性)进行研究就显得十分重要。资本资产定价模型(CAPM)主要探讨证券市场中资产预期收益与风险资产之间的相关性,描述资产收益与市场风险在均衡状态下的关系,是当代金融学最重要的基础理论之一。本文对资本资产定价模型(CAPM)的国内外研究情况进行了回顾,在此基础上从市场有效理论的视角,对我国上证A股钢铁板块的有效性进行了检验。
After more than a decade of rapid development, China’s stock market has now become one of the most important emerging markets. Although it has made great progress, some problems have also been exposed in the process of its development. In this context, it is very important to study the efficiency (effectiveness) of the stock market in our country. Capital Asset Pricing Model (CAPM) mainly discusses the correlation between expected return of assets and risk assets in securities market. Describing the relationship between return on assets and market risk in a balanced state is one of the most important basic theories in contemporary finance. This paper reviews the domestic and foreign research on capital asset pricing model (CAPM), and on the basis of this, tests the validity of China’s A-share iron and steel sector from the perspective of market efficiency theory.