López-García María Nieves, Sánchez-Granero Miguel Angel, Trinidad-Segovia Juan Evangelista, Puertas Antonio Manuel, Nieves Francisco Javier De Las
Department of Economics and Business, University of Almería, 04120 Almería, Spain.
Department of Mathematics, University of Almería, 04120 Almería, Spain.
Entropy (Basel). 2020 Aug 29;22(9):954. doi: 10.3390/e22090954.
One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks to a great extent. In this paper, we try to verify this hypothesis using a sample of 3.000 stocks of the USA market (attending to liquidity, capitalization, and free float criteria) by using some functions inspired by cooperative dynamics in physical particle systems. We will show that all of the co-movement among the stocks is completely explained by the market, even without considering the market beta of the stocks.
资本资产定价模型（CAPM）对投资组合理论的主要贡献之一是通过其与市场指数的关系来解释资产之间的相关性。根据这种方法，市场指数有望在很大程度上解释两只不同股票之间的共同变动。在本文中，我们尝试通过使用受物理粒子系统中合作动力学启发的一些函数，以美国市场的3000只股票样本（根据流动性、市值和自由流通标准）来验证这一假设。我们将表明，即使不考虑股票的市场贝塔系数，股票之间的所有共同变动也完全由市场解释。
