Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019)

Empirical Test of the Effectiveness of CAPM for Shanghai Stock Market-Based on Industry Grouping

Authors
Zhenyan Xiao, Yujian Yang, Liangfu Li, Yongjun Zhong
Corresponding Author
Zhenyan Xiao
Available Online December 2019.
DOI
10.2991/febm-19.2019.24How to use a DOI?
Keywords
CAPM; β coefficient; time series test; section data test
Abstract

This paper selects the stock data of 18 industries based on the CSRC industry classification from June 2016 to 2018 from the Shanghai Stock Exchange and conducts two tests. (1) The time series test proves that the β values of different industries show significant differences, and there are β values that are negatively correlated with the market rate of return. (2) The cross-sectional data test proves that the CAPM is far from effective for Shanghai Stock Market.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

Volume Title
Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
December 2019
ISBN
978-94-6252-849-9
ISSN
2352-5428
DOI
10.2991/febm-19.2019.24How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Zhenyan Xiao
AU  - Yujian Yang
AU  - Liangfu Li
AU  - Yongjun Zhong
PY  - 2019/12
DA  - 2019/12
TI  - Empirical Test of the Effectiveness of CAPM for Shanghai Stock Market-Based on Industry Grouping
BT  - Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019)
PB  - Atlantis Press
SP  - 63
EP  - 68
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-19.2019.24
DO  - 10.2991/febm-19.2019.24
ID  - Xiao2019/12
ER  -