An analysis in Chinese stock market using the capital asset pricing model

Qian Li; Kunze Liu; Zehao Ma; Wang Zhu

doi:10.1117/12.2646598

23 August 2022 An analysis in Chinese stock market using the capital asset pricing model

Qian Li, Kunze Liu, Zehao Ma, Wang Zhu

Proceedings Volume 12330, International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022); 123302C (2022) https://doi.org/10.1117/12.2646598
Event: International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022), 2022, Huzhou, China

Abstract

China Stock Exchange was established in the 1990s and developed rapidly in the past 20 years. It is an important place for domestic equity financing and investment by investors, however, China's stock markets were too short to adapt to CAPM model. In this paper, Whether China's stock market is suitable for CAPM model is continuously analyzed and studied. We selected four representative stocks in Shanghai and Shenzhen 300 from 2010 to 2021 to confirm the applicability of CAPM model. The results show that only one of the four stocks conform to CAPM model theory, and the return of the other three stocks does not have a high degree of compensation for system risk. This does not conform to the CAPM model, so we conclude that the CAPM model is not applicable to CSI300, and the systemic risk accounts for a large proportion of the total risk. We draw our conclusion that the CAPM model theory is not yet applicable to both stock markets in China. In addition, according to the research results, this paper also summarizes the problems in the process, in order to find the most appropriate theoretical model for China's A-shares.

Citation Download Citation

Qian Li, Kunze Liu, Zehao Ma, and Wang Zhu "An analysis in Chinese stock market using the capital asset pricing model", Proc. SPIE 12330, International Conference on Cyber Security, Artificial Intelligence, and Digital Economy (CSAIDE 2022), 123302C (23 August 2022); https://doi.org/10.1117/12.2646598

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