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Capital Asset Pricing Model in Shanghai Stock Market Analysis

Author: LiuFengLi
Tutor: PanGuanZhong
School: Yunnan University of Finance
Course: Finance
Keywords: The capital asset pricing model applicability empirical research
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 515
Quote: 1
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Abstract


The capital asset pricing model is the core of the modern financial research. The model is built in 1952, and the research of the theories began from the 1970s. From then on, many scholars had made empirical tests on this problem and they got different results. Recent years, Chinese scholars also began to study the problem whether the capital asset pricing model is suitable for the securities market in our country. On this problem they also have different conclusions, many scholars’ research results show that our country securities market is still not accord with the capital asset pricing model. But the capital asset pricing model’s theory is undoubtedly a powerful theoretical tool which can be used by investors. Can investors use this theoretical tool in Chinese securities market? In this article, we can find the answer.At first, we make a short review about the related literature at home and abroad, this article summarizes the early research results and reviews. Scholars made many empirical research of the capital asset pricing model in western securities market. The early findings mostly support the capital asset pricing model and later the capital asset pricing model in the research had been questioned. Chinese scholars also made studies and they found that the capital asset pricing model still don’t accord with the actual situation in our country. Review of previous conclusion after next based on the brief introduction of the capital asset pricing model and its derivative out several theory, the empirical analysis to the next. Empirical examination methods is a classical BJS method, this is using time series inspection capital asset pricing model, a method of most posterity continue, many domestic and foreign scholars have used this method. In the introduction to inspection method, this paper adopted after January 2008 in December of 2010 Shanghai securities market 100 stocks data is empirically analyzed, first estimate of single stock, then its beta grouped according to rules will stock the beta coefficient calculation stock portfolio, final inspection benefits and risks relationship. Test results show that our country securities market is still fails to meet the capital asset pricing model. On this basis, this paper analyses the causes of the inspection results China is the main reason of the securities market, although started late developing very quickly but is still in development imperfect state, besides China securities market greatly influenced by government policy, have "policy city" features and investors in our stock market structure is unreasonable, individual investors and quality is not high, the our country securities market in the publicity of low level of information, these have influenced the capital asset pricing model market in our country. This paper puts forward policy Suggestions by the condition of China securities market. First, characteristics of government in developing of the securities market should be more prudent when carry out the next step of policy. Second we should strengthen the construction of system, standardize information disclosure mechanism, and also should be stable developing institutional investors and strengthen the education for individual investors.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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