期刊名称：Annals of the Alexandru Ioan Cuza University - Economics
电子版ISSN：2068-8717
出版年度：2015
卷号：62
期号：3
页码：453-480
DOI：10.1515/aicue-2015-0030
语种：English
出版社：Walter de Gruyter GmbH
摘要：We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH-VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon.
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