CAJ | 학술논문

国家社科期刊

金融研究 금융연구
Journal of Financial Research
2005年 12期 62~72 ,共null页

万欣荣蒋少戈朱红磊萬訢榮蔣少戈硃紅磊

만흔영 장소과 주홍뢰

资产定价广义矩估计多重共线性股票收益影响因素定价模型資產定價廣義矩估計多重共線性股票收益影響因素定價模型
자산정개 엄의구고계 다중공선성 고표수익 영향인소 정개모형
asset pricing, general method of moments, multi - correlation.

本文介绍了GMM模型的估计与检验。并运用GMM模型分析中国的股票市场，力求寻找对证券回报率有重要贡献的因素变量，为股市的技术分析提供一个可信的工具。
본문개소료GMM모형적고계여검험。병운용GMM모형분석중국적고표시장，력구심조대증권회보솔유중요공헌적인소변량，위고시적기술분석제공일개가신적공구。
This paper introduces the CAPM theory and APT theory and their development, as well as the estimate and test of GMM model. We use GMM model to study the stock market of China, trying to find out these variable that have the most significant effect on the equity return rate and providing a reliable analysis tool.