An Empirical Study of the Suitability of the CAPM for the China Stock Market
碩士 === 淡江大學 === 大陸研究所 === 90 === In financial management, one of the most important models of return and risk is Capital Assets Pricing Model. And the China stock markets formed Shanghai stock exchange in 1990 and issued B share in 1992. It is very interest using CAPM in China stock market. We calcu...
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ndltd-TW-090TKU000250182016-06-24T04:14:43Z http://ndltd.ncl.edu.tw/handle/32525918848582507324 An Empirical Study of the Suitability of the CAPM for the China Stock Market 資本資產定價模型在大陸股市適用性之實證研究 Chen Po-Chung 陳博鍾 碩士 淡江大學 大陸研究所 90 In financial management, one of the most important models of return and risk is Capital Assets Pricing Model. And the China stock markets formed Shanghai stock exchange in 1990 and issued B share in 1992. It is very interest using CAPM in China stock market. We calculate the “beta” of the B shares in Shanghai stock exchange, we group them as portfolios to verify whether the CAPM is suitable for Shanghai B share. The empirical study shows that: The CAPM indicates that the higher return is, the higher risk is. But the relation between return and risk in China B share is not clear. Second, the systematic risk (beta) is unable to explain the return of stocks completely in China B share. Likewise, the 「Mean-Variance」CAPM cannot suitable model of risk and return for the China B share market, and this model cannot perform well in explaining the prices of stock in China. The principal reason for this may be that China B share market dose not conform well to the basic assumptions of the CAPM. For example, the scale of the market is too small, information is imperfect, considerable transactions cost exist, government influence the market, does not an 「efficient market」, and hence “beta” values cannot explain the return of stock completely. From the empirical results of this study, the CAPM is not suitable for China B share during the sample period. In the future, we can focus on the basic assumptions of the CAPM, to investigate whether these can affect the results of this study or not. Yang Wei Jen Tsao Kuo Chun 楊維楨 曹國俊 2002 學位論文 ; thesis 59 zh-TW |
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碩士 === 淡江大學 === 大陸研究所 === 90 === In financial management, one of the most important models of return and risk is Capital Assets Pricing Model. And the China stock markets formed Shanghai stock exchange in 1990 and issued B share in 1992. It is very interest using CAPM in China stock market. We calculate the “beta” of the B shares in Shanghai stock exchange, we group them as portfolios to verify whether the CAPM is suitable for Shanghai B share.
The empirical study shows that:
The CAPM indicates that the higher return is, the higher risk is. But the relation between return and risk in China B share is not clear. Second, the systematic risk (beta) is unable to explain the return of stocks completely in China B share.
Likewise, the 「Mean-Variance」CAPM cannot suitable model of risk and return for the China B share market, and this model cannot perform well in explaining the prices of stock in China.
The principal reason for this may be that China B share market dose not conform well to the basic assumptions of the CAPM. For example, the scale of the market is too small, information is imperfect, considerable transactions cost exist, government influence the market, does not an 「efficient market」, and hence “beta” values cannot explain the return of stock completely.
From the empirical results of this study, the CAPM is not suitable for China B share during the sample period. In the future, we can focus on the basic assumptions of the CAPM, to investigate whether these can affect the results of this study or not.
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author2 |
Yang Wei Jen |
author_facet |
Yang Wei Jen Chen Po-Chung 陳博鍾 |
author |
Chen Po-Chung 陳博鍾 |
spellingShingle |
Chen Po-Chung 陳博鍾 An Empirical Study of the Suitability of the CAPM for the China Stock Market |
author_sort |
Chen Po-Chung |
title |
An Empirical Study of the Suitability of the CAPM for the China Stock Market |
title_short |
An Empirical Study of the Suitability of the CAPM for the China Stock Market |
title_full |
An Empirical Study of the Suitability of the CAPM for the China Stock Market |
title_fullStr |
An Empirical Study of the Suitability of the CAPM for the China Stock Market |
title_full_unstemmed |
An Empirical Study of the Suitability of the CAPM for the China Stock Market |
title_sort |
empirical study of the suitability of the capm for the china stock market |
publishDate |
2002 |
url |
http://ndltd.ncl.edu.tw/handle/32525918848582507324 |
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