Research Of Shanghai Stock Exchange And Shenzhen Stock Exchange Based On The BAPM Model

This study selects listed companies stock data and the corresponding index data from Shanghai stock exchange and Shenzhen stock exchange in 2007 to 2010 and does research, based on Behavior Asset Pricing Model. Firstly, the thesis elaborates the related theory of the Capital Asset Pricing Model and Behavior Asset Pricing Model. Information traders make rational investments and the capital market is effective and efficient. According to the conditions, scholars deduce the Capital Assets Price Model (CAPM) model. The noise traders are irrational participants who make their decisions based on emotions. Based on actual conditions, scholars deduce the Behavioral Asset Pricing Model (BAPM) theory; Secondly, the thesis divides the whole sample into four samples by bull market and bear market, and do empirical research, based on BAPM and CAPM; At last, the thesis gets conclusion and propose policy recommendations. According to the result of the empirical research, this study gets the following conclusions:Noise trader widely exists in China's stock market and they have great influence on China's stock market; The NTR in bull market is greater than in bear market. In other words, when the stock market is in bull market, noise trading risk is greater; The NTR will reduce the excess yield in bear market, but The NTR will increase the excess yield in bull market. With the empirical research, this study provides theoretical basis and policy suggestions for stock market.