Journal of Guangxi Normal University(Natural Science Edition) ›› 2017, Vol. 35 ›› Issue (4): 49-57.doi: 10.16088/j.issn.1001-6600.2017.04.007

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Applications and Tests of a Capital Asset Pricing Model in Chinese ShanghaiStock Market: Based on the Method of Industry Group

YANG Xiangjun1*,YANG Shanchao2   

  1. 1.College of Computer Science and Information Engineering, Guangxi Normal University, Guilin Guangxi 541004,China;
    2.College of Mathematics and Statistics,Guangxi Normal University, Guilin Guangxi 541006,China
  • Online:2017-07-25 Published:2018-07-25

Abstract: Capital asset pricing model (CAPM) is the focus of the academic study of modern finance theory. The effectiveness of CAPM in China’s current capital markets needs to further empirical research and test. In this paper, the indices of 30 industries and the Shanghai Composite Index are chosen as research subjects, and their daily trading data from October 15, 2007 to September 30, 2015 are used to conduct time series analysis and cross-sectional double regression analysis. The β coefficients of different periods in different industries are calculated to analyze the risk and benefit of each industry in a comprehensive way, and to test the validity of CAPM model by using the linear relationship between the average rates of return and the β coefficients.

Key words: capital assets pricing model, Shanghai composite index, industry group, double regression analysis

CLC Number: 

  • F832
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