The Application of the Capital Asset Pricing Model (CAPM) in China's Financial Market: An Analysis of Regulatory Impact and International Comparison

Zixuan Tang

doi:10.54254/2754-1169/67/20241253

Research Article

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Published on 5 January 2024

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Tang,Z. (2024). The Application of the Capital Asset Pricing Model (CAPM) in China's Financial Market: An Analysis of Regulatory Impact and International Comparison. Advances in Economics, Management and Political Sciences,67,12-17.

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The Application of the Capital Asset Pricing Model (CAPM) in China's Financial Market: An Analysis of Regulatory Impact and International Comparison

Zixuan Tang *^,1,

¹ NYU College of Arts & Science,New York University

* Author to whom correspondence should be addressed.

https://doi.org/10.54254/2754-1169/67/20241253

Abstract

As the world's second largest economy, China is also one of the world's biggest emerging economies. The Capital Asset Pricing Model (CAPM) is one of the most classic pricing models, and China's asset pricing model has gained a lot of experience from it. This research investigates the application of the CAPM in China's financial market, focusing on the influence of financial market regulation and conducting a comparative analysis with international markets. CAPM is a fundamental asset pricing model used to estimate asset expected returns and risks based on their covariance with the overall market portfolio. The study aims to analyze the practical implementation of CAPM in China's financial market, considering the impact of financial market regulation on the model's effectiveness. Key variables such as market data, risk-free rates, and stock returns are utilized, with specific adjustments made to accommodate China's unique regulatory environment. The research's significance lies in providing valuable insights into asset pricing and risk assessment in China's financial market, as well as implications for investors and policymakers. By comparing the results with international markets, this study contributes to a broader understanding of the CAPM model's applicability and effectiveness in diverse regulatory settings.

Keywords

Capital Asset Pricing Model (CAPM), financial market regulation, China's financial market, international markets

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References

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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 3rd International Conference on Business and Policy Studies

Conference website: https://www.confbps.org/

ISBN：978-1-83558-265-7(Print) / 978-1-83558-266-4(Online)

Conference date: 27 February 2024

Editor：Arman Eshraghi

Series: Advances in Economics, Management and Political Sciences

Volume number: Vol.67

ISSN：2754-1169(Print) / 2754-1177(Online)

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