本文通过对上海证券市场中随机抽取的72支股票的数据分别在30天,120天,240天,3年,5年五个不同跨度的时间区间内做回归分析,分别检验资本资产定价理论在中国证券市场的有效性。得出了capm在样本时间区间跨度较小的情况下有效性较高,在样本时间区间跨度较大的情况下有效性则较低。且存在较大的非系统风险对股票收益率产生影响的结论。 Through the regression analysis of the data of 72 stocks randomly selected in Shanghai stock market in five different spans of 30 days, 120 days, 240 days, 3 years and 5 years respectively, this paper tests the capital asset pricing theory The Effectiveness of China’s Securities Market. It is concluded that the capm is more effective when the sample span is smaller and the validity is lower when the sample span is larger. And there is a big non-systematic risk to the stock yield impact conclusion.