创业板自上市以来就受到政府及投资者的广泛关注,作为专门为高科技企业融资的平台,创业板背后是更高的收益率和更高的投资风险。文章使用CAPM模型,计算了创业板收益率与市场收益间的关系,证实了创业板确实有超过市场的收益,但同时其波动率受到前3期波动率的影响,收益波动预测难度较大。 GEM has been widely concerned by the government and investors since its listing. As a platform for financing high-tech enterprises, GEM has a higher return rate and higher investment risk. Using the CAPM model, the article calculates the relationship between the return on the GEM and the market return, confirming that the GEM does indeed have more returns than the market, but its volatility is affected by the volatility of the first three periods and the volatility of returns is more difficult to predict.