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资本资产定价模型建立在市场有效的前提假设之上,对证券市场进行资本资产定价理论的实证研究可以帮助判断市场的运行效率。选取2006年至2014年的证券市场数据,从行业板块视角对我国证券市场进行CAPM的时间序列和横截面方法的实证研究。两种研究方法得出了一致的结果,即资本资产定价模型在分析期内的我国股票市场上并不成立,说明我国的证券市场仍处于低效甚至无效的状态,因而我国资本市场的市场化改革任重道远。
The capital asset pricing model is based on the premise that the market is valid. Empirical research on the capital asset pricing theory in the securities market can help to judge the market efficiency. Select the securities market data from 2006 to 2014, from the perspective of the industry sector of China’s securities market CAPM time-series and cross-sectional method of empirical research. The two research methods come to a consistent result that the capital asset pricing model does not hold in the stock market in China during the analysis period, which shows that the stock market in our country is still inefficient or even ineffective. Therefore, the market-based reform of the capital market in China A long way to go.