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CAPM既是一个完整的理论模型,同时也是一个可以用于检验的实证模型,本文使用2011年初到2012年4月12日间共计308个交易日的数据构建CAPM,对我国开放式基金收益率变化与上证指数变化的相关性进行实证分析。对于任何资产而言,E(rm)和rf都是相同的,所以决定资产预期收益率的只有β,利用Eviews软件可以对实际数据的拟合效果进行检验。基于金融时间序列的参数检验方法认为,我国开放式基金的风险补偿系数(β)接近于1,代表了开放式基金对于市场组合的风险贡献度接近于1,即开放式基金的风险变化与市场组合的变化是同等程度的。
CAPM is not only a complete theoretical model but also an empirical model that can be used for testing. In this paper, a total of 308 trading days between the beginning of 2011 and April 12, 2012 were used to construct CAPM. The changes of the returns of open-end funds in China Empirical Analysis of the Relevance of the Shanghai Composite Index. For any asset, E (rm) and rf are the same, so β, which determines the expected rate of return on assets, can be used to test the fit of the actual data using Eviews software. The method of parameter test based on financial time series thinks that the risk compensation coefficient (β) of open-end fund in China is close to 1, which represents that the contribution of open-end fund to the risk of the market portfolio is close to 1, that is, the risk change of open-end fund and the market The combination of changes is the same level.