1、證券投資分析作業CAP膜型在中國資本市場的有效性檢驗1、數據選取此次實驗主要考察CAP彼型在中國電力行業是否適用,因此隨機抽取了電力行業的十只股票(時間段為2021年1月1日2021年12月31日),分別為股票代碼股票簡稱股票代碼股票簡稱002039黔源電力600101明星電力600116三峽水利600292九龍電力600310桂東電力600452涪陵電力600505西昌電力600644樂山電力600674川投能源600969郴電國際選取滬深300指數為綜合指數,選取2021年的國債的利率作為無風險資產的收益率(0.025).2、B系數確實定CAPM1型中,B系數可以表述為：Ri - Rf=

2、a i+ B i(Rm-Rf)+ e i ,其中Ri為每一種證券的收益率,Rf為無風險收益率,Rmfe市場收益率.使用Eviews軟件對每只股票每日風險溢價與市場組合風險溢價進行回歸,得到每只股票的B值.如下：(1)黔源電力DependentVariable:YMethod:LeastSquaresDate:12/26/11Time:16:35Sample:1241Includedobservations:241VariableCoefficientStd.Error t-StatisticProb.C-0.0086850.002294-3.7860060.0002X0.6166130.076

3、3248.0788830.0000R-squared0.214509Meandependentvar-0.024413AdjustedR-squared0.211223S.D.dependentvar0.021210S.E.ofregression0.018838 Akaikeinfocriterion-5.097652Sumsquaredresid0.084811 Schwarzcriterion-5.068732Loglikelihood616.2670 F-statistic65.26835Durbin-Watsonstat1.914885 Prob(F-statistic)0.0000

4、00(2)明星電力DependentVariable:Y2Method:LeastSquaresDate:12/26/11Time:16:46Sample:1241Includedobservations:241VariableCoefficie ntStd.Error t-StatisticProb.C-0.0325260.007661-4.2455950.0000X-0.2159750.254892-0.8473200.3977R-squared0.002995Meandependentvar-0.027017AdjustedR-squared-0.001177S.D.dependentv

5、ar0.062873S.E.ofregression0.062910Akaikeinfocriterion-2.685947Sumsquaredresid0.945894Schwarzcriterion-2.657027Loglikelihood325.6566F-statistic0.717951Durbin-Watsonstat1.196603Prob(F-statistic)0.397665(3)三峽水利DependentVariable:Y3Method:LeastSquaresDate:12/26/11Time:16:48Sample:1241Includedobservations

6、:241CoefficieVariablentStd.Error t-StatisticProb.C-0.0293980.004289-6.8536140.0000X-0.1601040.142712-1.1218690.2630R-squared0.005238Meandependentvar-0.025314AdjustedR-squared0.001076S.D.dependentvar0.035242S.E.ofregression0.035223Akaikeinfocriterion-3.845971Sumsquaredresid0.296518Schwarzcriterion-3.

7、817051Loglikelihood465.4395 F-statistic1.258591Durbin-Watsonstat1.523152 Prob(F-statistic)0.263044(4)九龍電力DependentVariable:丫4Method:LeastSquaresDate:12/26/11Time:16:50Sample:1241Includedobservations:241VariableCoefficientStd.Error t-StatisticProb.C-0.0237080.004362-5.4346750.0000X-0.0035840.145136-0

8、.0246930.9803R-squared0.000003Meandependentvar-0.023616AdjustedR-squared-0.004182S.D.dependentvar0.035747S.E.ofregression0.035821Akaikeinfocriterion-3.812283Sumsquaredresid0.306677Schwarzcriterion-3.783363Loglikelihood461.3801F-statistic0.000610Durbin-Watsonstat1.598474Prob(F-statistic)0.980321(5)桂東

9、電力DependentVariable:Y5Method:LeastSquaresDate:12/26/11Time:16:52Sample:1241Includedobservations:241CoefficieProb.VariablentStd.Error t-StatisticC-0.0274010.003728-7.3510100.0000X-0.1745390.124019-1.4073600.1606R-squared0.008219Meandependentvar-0.022949AdjustedR-squared0.004069S.D.dependentvar0.03067

10、2S.E.ofregression0.030609Akaikeinfocriterion-4.126758Sumsquaredresid0.223927Schwarzcriterion-4.097838Loglikelihood499.2743F-statistic1.980662Durbin-Watsonstat1.567083 Prob(F-statistic)0.160620(6)涪陵電力DependentVariable:Y6Method:LeastSquaresDate:12/26/11Time:16:53Sample:1241Includedobservations:241Vari

11、ableCoefficientStd.Error t-StatisticProb.C-0.0275690.009995-2.7582870.0063X0.0286730.3325370.0862260.9314R-squared0.000031Meandependentvar-0.028300AdjustedR-squared-0.004153S.D.dependentvar0.081904S.E.ofregression0.082074Akaikeinfocriterion-2.154127Sumsquaredresid1.609937Schwarzcriterion-2.125208Log

12、likelihood261.5723F-statistic0.007435Durbin-Watsonstat1.109620Prob(F-statistic)0.931359(7)西昌電力DependentVariable:Y7Method:LeastSquaresDate:12/26/11Time:16:55Sample:1241Includedobservations:241VariableCoefficientStd.Error t-StatisticProb.C-0.0264340.004241-6.2330430.0000X0.0162410.1410980.1151070.9085

13、R-squared0.000055Meandependentvar-0.026848AdjustedR-squared-0.004128S.D.dependentvar0.034753S.E.ofregression0.034825Akaikeinfocriterion-3.868717Sumsquaredresid0.289849Schwarzcriterion-3.839798Loglikelihood468.1804F-statistic0.013250Durbin-Watsonstat1.452457Prob(F-statistic)0.908457(8)樂山電力DependentVa

14、riable:Y8Method:LeastSquaresDate:12/26/11Time:16:56Sample:1241Includedobservations:241CoefficieVariablentStd.Error t-StatisticProb.C-0.0281740.003964-7.1072560.0000X-0.1719160.131888-1.3035030.1937R-squared0.007059Meandependentvar-0.023789AdjustedR-squared0.002905S.D.dependentvar0.032599S.E.ofregres

15、sion0.032552Akaikeinfocriterion-4.003721Sumsquaredresid0.253245Schwarzcriterion-3.974802Loglikelihood484.4484F-statistic1.699119Durbin-Watsonstat1.733619Prob(F-statistic)0.193657(9)川投能源DependentVariable:Y9Method:LeastSquaresDate:12/26/11Time:16:58Sample:1241Includedobservations:241VariableCoefficien

16、tStd.Error t-StatisticProb.C-0.0285790.003039-9.4027250.0000X-0.1441560.101126-1.4255140.1553R-squared0.008431Meandependentvar-0.024902AdjustedR-squared0.004282S.D.dependentvar0.025013S.E.ofregression0.024959Akaikeinfocriterion-4.534903Sumsquaredresid0.148885Schwarzcriterion-4.505984Loglikelihood548

17、.4558F-statistic2.032090Durbin-Watsonstat1.710352Prob(F-statistic)0.155313DependentVariable:Y10Method:LeastSquaresDate:12/26/11Time:16:59Sample:1241Includedobservations:241VariableCoefficientStd.Error t-StatisticProb.C-0.0229690.003915-5.8662170.0000X0.0724080.1302680.5558350.5788R-squared0.001291Me

18、andependentvar-0.024816AdjustedR-squared-0.002888S.D.dependentvar0.032105S.E.ofregression0.032152Akaikeinfocriterion-4.028440Sumsquaredresid0.247062Schwarzcriterion-3.999520Loglikelihood487.4270F-statistic0.308952Durbin-Watsonstat1.756510Prob(F-statistic)0.5788443、用求出的10只股票的B值與十只股票的平均收益率進行回歸,如下:DependentVariable:YYMethod:LeastSquaresDate:12/26/11Time:17:27Sample:110Includedobservations:10VariableCoefficientStd.Error t-StatisticProb.C-5.47E-050.000603-0.0906850.9300XX1.30E-050.0025980.0050220.9961R-squared0.000003Meandependentvar-5.49E-