【摘要】 国内外的许多研究都曾以CAPM检验市场的有效性。然而现实的市场不存在无风险资产,零贝塔CAPM针对此假设对CAPM进行了修正,但是得出的约束条件不再是线性,因此检验变得复杂。介绍了检验这一非线性约束条件的一种新方法——特征值检验,并运用此方法,以零贝塔CAPM检验上海A股市场的有效性,结果发现,上海A股市场远不是有效市场。更多还原

【Abstract】 The test of the efficiency of a portfolio has been an important issue in finance for years, many researchers both at home and abroad had studied the efficiency problem in the context of CAPM. But there is no riskless asset in reality, so zero beta CAPM may be a better model. Thus the test is more complicated, because the hypothesis to be tested is nonlinear. This article presents a new method of nonlinear efficiency constraints—eigenvalue test. As an application, we test the efficiency of Shanghai A share stock market by eigenvalue test. Finally, we give some conclusions about Shanghai A share stock market.更多还原