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Empirical Test of CAPM Model in Stock Market
- 1 Wenzhou Kean University
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Abstract
The rapid development of the economy has brought about the continuous accumulation of personal assets, and at the same time, the concept of financial management is rapidly budding and spreading. People's rapidly expanding consumer desire makes stocks, funds, and other products more appealing, leading them to prefer the financial route. However, stocks and funds need investors to bear certain risks, generally speaking, the greater the risk, the more lucrative the investment returns. The CAPM model was born for this reason, and its main content is the relationship between yield and risk and equilibrium pricing. The application of the CAPM model in the stock market has always been the focus of attention. As a core part of the stock market, the banking sector has an inseparable relationship with finance. Therefore, this paper selects eight stocks of banks with long listed times and top market capitalization rankings, conducts empirical analysis on their trading data from 2018 to 2021, and employs the time series detection method to test whether the single factor CAPM model is effective in the Chinese stock market.
Keywords
capital asset pricing model, time series test, the empirical analysis
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Cite this article
Li,T. (2023). Empirical Test of CAPM Model in Stock Market. Advances in Economics, Management and Political Sciences,21,101-104.
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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Volume title: Proceedings of the 2023 International Conference on Management Research and Economic Development
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