摘要
本文以最近六年沪深市场的股票价格数据为依据,利用因子分析方法检验了影响股票收益率的因子数目,在此基础上进一步对套利定价模型在中国股票市场的适用性做了细致的检验。研究发现,影响股票收益率的因子有9个左右,明显多于美国股市上的因子数目,但套利定价模型并不适用于中国股市,这很可能意味着中国股市没有达到充分竞争的要求,市场中可能存在套利机会。
By means of factor analysis, the paper tests the number of the factors influencing the stock returns and finds that there are about nine factors in Chinese stock markets in the last six years, which is more than that in the U. S. stock markets. Further more, the author tests the APT and finds it doesn't fit for Chinese stock markets, which maybe mean that Chinese stock markets don' t meet the condition of complete competition yet and that there are chances of arbitrage.
出处
《金融研究》
CSSCI
北大核心
2004年第6期44-55,共12页
Journal of Financial Research
