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Modern Financial Portfolio Theory and the Empirical Analysis of China’s Securities Market

Author: XuKang
Tutor: LiZhongMin
School: Tianjin University
Course: Quantitative Economics
Keywords: Modern financial portfolio theory Single exponential model Capital Asset Pricing Model LPM method
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 553
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Abstract


Financial portfolio theory, from the traditional to the modern evolution of development based on the theory empirical analysis in the application of China's securities market at home and abroad and the problems of the single index model as well as the capital asset pricing model, and how to improve the modern financial portfolio theory to carry out a series of discussions in China's securities market. This paper describes the traditional portfolio theory and its limitations, the generation of modern portfolio theory and development. The second chapter introduces modern financial portfolio theory applicable assumptions, especially the market the validity of assumptions, and the debate on the effectiveness of the market, and to discuss the effectiveness of the Chinese stock market to judge modern financial portfolio theory in our stock the status of application of the market. The third chapter describes the narrow sense of the modern financial portfolio theory, discusses risk measurement methods, the model of the modern financial portfolio theory, Markowitz mean - variance model, mean - the semi-variance model, and LPM method, and The application of the effectiveness of the comparison and evaluation. The LPM model expression has been improved, a different degree of risk given the method of risk measurement type different order moments. Chapter IV describes the capital asset pricing model, a review of the empirical research scholars for the capital asset pricing model, empirical research exists for the domestic data timeliness and effectiveness of selected market index, we have chosen 2001-2006 Shanghai A-share stock market 60 weeks to yield data the CAPM empirical test, the empirical results show that: the Shanghai stock market systemic risk and return CAPM theory expected linear relationship does not exist. The capital asset pricing model is the assertion on the expected return, however, in fact, anyone can directly observe the realized gains to expect gains become realized gains, you can use the exponential model. Chapter 5 introduces the single exponential model, multi-factor model and the single-index model in our stock selection in the case of the stock market rose and fell, and then the Chinese stock market correlation analysis to check at this stage whether the single-exponential model to describe the structure of stock returns. Chapter VI discusses the application of modern financial portfolio theory in our problems, and propose some solutions, concluded the applicability of the theory in China's capital market, the application of the theory in our prospects prospected.

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