The Research on the Application of CAPM Model in Chinese Stock Market

Research Article
Open access

The Research on the Application of CAPM Model in Chinese Stock Market

Minghui Li 1*
  • 1 China Foreign Affairs University    
  • *corresponding author liyx@upc.edu.cn
Published on 13 September 2023 | https://doi.org/10.54254/2754-1169/15/20230949
AEMPS Vol.15
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-73-7
ISBN (Online): 978-1-915371-74-4

Abstract

With the improvement of living standards, more and more people tend to use their savings to make stock investment, and how to make good use of precious capital for project investment, industrial support policy of the government how to develop practical, make the flow of resources efficiently has the development potential and competitive enterprise project, which requires us to make accurate judgment and the correct decision. By adopting the method of regression analysis, carries on the empirical analysis of China's securities market sampling, shows that, by using statistical analysis methods, this study can select a relatively appropriate market portfolio yield, improve the accuracy of asset value and asset allocation, which is an effective and analytical obstacle to the use of Capital Asset Pricing Model (CAPM) to the China's capital market. And then put forward some model to analyze the enlightenment of capital and asset pricing for the stock market. The study draws a conclusion that the beta of a stock plays a decisive role in investing. Stocks with different beta values are selected according to different stock market conditions in order to achieve the best expected annualized return.

Keywords:

CAPM model, analysis of data, stock beta

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References

[1]. Yang Shuanghui, Zheng Zhikai. CAPM model in the a-share market applicability of empirical test [J]. Journal of financial theory and the teaching, 2021 (6) : 39-44. DOI: 10.13298 / j.carol carroll nki ftat. 2021.06.010

[2]. Author, F., Author, S.: Title of a proceedings paper. In: Editor, F CONFERENCE 2016, LNCS, vol. 9999, pp. 1–13. (2016).

[3]. LI K X. The applicability of Capital Asset Pricing Model (CAPM) in Chinese stock market [J]. Bohai sea economic outlook, 2022 (4): 157-160.

[4]. Liu Yiwen, Deng Nan, Ding Pan. Research on the Efficiency of Shanghai Stock Market Based on Bayesian CAPM Model [J]. Financial Economy, 2022 (04): 15-28.

[5]. FAN D N. An empirical study on optimal selection of asset portfolio and market portfolio based on CAPM model [J]. Investment and Entrepreneurship, 222,33(05):11-13.

[6]. ZHANG M M. The ineffectiveness of CAMP Theory in Chinese stock market [J]. Fortune Times,2021(11):182-183.

[7]. FAMA E F.; The behavior of stock-market prices[J]. The Journal of Business, 1965, 38(01):34-105.

[8]. CHATTERJEE P, RAKSHIT D. Measurement of Indian stock market efficiency through random walk model[J]. National Journal of Multidisciplinary Research and Development, 2018,3(01):34-37.

[9]. Wang Weijie, Tao Sha, Li Jiangyue, Hou Weibo. An empirical test of the effectiveness of capital asset pricing model based on Chinese enterprises [J]. Journal of huaibei normal university (natural science edition),2021,42(04):23-31.

[10]. Lin S Y. The relationship between corporate capital structure and corporate value: Based on CAPM model and WACC analysis [J]. China Collective Economy, 2022(12): 108-110.

[11]. Yang Deming. An empirical study on China's stock market using conditional CAPM model with macroeconomic variables [D]. 2021. DOI: 10.27412 /, dcnki. Gxncu. 2021.001915.


Cite this article

Li,M. (2023). The Research on the Application of CAPM Model in Chinese Stock Market. Advances in Economics, Management and Political Sciences,15,367-370.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 2nd International Conference on Business and Policy Studies

ISBN:978-1-915371-73-7(Print) / 978-1-915371-74-4(Online)
Editor:Javier Cifuentes-Faura, Canh Thien Dang
Conference website: https://2023.confbps.org/
Conference date: 26 February 2023
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.15
ISSN:2754-1169(Print) / 2754-1177(Online)

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References

[1]. Yang Shuanghui, Zheng Zhikai. CAPM model in the a-share market applicability of empirical test [J]. Journal of financial theory and the teaching, 2021 (6) : 39-44. DOI: 10.13298 / j.carol carroll nki ftat. 2021.06.010

[2]. Author, F., Author, S.: Title of a proceedings paper. In: Editor, F CONFERENCE 2016, LNCS, vol. 9999, pp. 1–13. (2016).

[3]. LI K X. The applicability of Capital Asset Pricing Model (CAPM) in Chinese stock market [J]. Bohai sea economic outlook, 2022 (4): 157-160.

[4]. Liu Yiwen, Deng Nan, Ding Pan. Research on the Efficiency of Shanghai Stock Market Based on Bayesian CAPM Model [J]. Financial Economy, 2022 (04): 15-28.

[5]. FAN D N. An empirical study on optimal selection of asset portfolio and market portfolio based on CAPM model [J]. Investment and Entrepreneurship, 222,33(05):11-13.

[6]. ZHANG M M. The ineffectiveness of CAMP Theory in Chinese stock market [J]. Fortune Times,2021(11):182-183.

[7]. FAMA E F.; The behavior of stock-market prices[J]. The Journal of Business, 1965, 38(01):34-105.

[8]. CHATTERJEE P, RAKSHIT D. Measurement of Indian stock market efficiency through random walk model[J]. National Journal of Multidisciplinary Research and Development, 2018,3(01):34-37.

[9]. Wang Weijie, Tao Sha, Li Jiangyue, Hou Weibo. An empirical test of the effectiveness of capital asset pricing model based on Chinese enterprises [J]. Journal of huaibei normal university (natural science edition),2021,42(04):23-31.

[10]. Lin S Y. The relationship between corporate capital structure and corporate value: Based on CAPM model and WACC analysis [J]. China Collective Economy, 2022(12): 108-110.

[11]. Yang Deming. An empirical study on China's stock market using conditional CAPM model with macroeconomic variables [D]. 2021. DOI: 10.27412 /, dcnki. Gxncu. 2021.001915.