Research On Application Based On CAPM And Intervention Model

This article mainly studies the impact of intervention events on China's stock market.It has conducted a certain promotion like introducing a function exp(-?t ), on the basis of the intervention model, which is mainly used to describe the impact of the continuous intervention process. Moreover, the article, combined with China's securities market in 2014 Shanghai and Shenzhen stock market index by the central bank' s interest rate cut and the impact of the central economic conference intervention,conducted an empirical research. It is found that the extended intervention model is much closer to the real data through the Eviews fitting of the mathematical statistics software. Taking the stock market industry sector as the object to study the relationship between the industry sector and the broader market. To calculate the coefficients of ?and ? of several representative plates in the stock market before the bank' s interest rate cut, and the coefficients of the corresponding sections of a and ? after the rate cut by using the extended intervention model and the CAPM model. Then through the analysis of the changes on the two coefficients before and after the rate cut, we can get to know the impact of the bank' s interest rate cut on the stock market plate so as to decide to buy or sell the stock.