Empirical Test Of The Camp Model Of Chinese Stock Market Based On The Classified Trades

CAPM depicts the interrelationship between the expected rate of return of risk asset and the risk in an equilibria investment market, offering the equilibrium prices of the risk assets. CAPM plays a very important role during the course of establish-ing investment portfolio and it will be applied in a wider scope in China with the continuing development of Chinese stock market. So it is a great necessity to check the usability and availability of CAPM in such a rising Chinese capital market.With the data concerning31trades of Chinese stock market from June2007to June2010, this dissertation mainly focus on the study of the following two aspects: the first one is the study of portfolio βmodulus and its stability. The other one is the empirical test of CAPM of the sample data. With the way of empirical test of CAPM, this essay tests whether there is the related positive linear relationship be-tween the expected rate of return of portfolio investment and the0modulus. Then, the results of traded modulus are analyzed and tested in time series. In addition, cross section test is also made. This dissertation attempts to analyze the character-istics of CAPM of Chinese stock market and puts forward the author’s own ideas:(1)what changes of the effectiveness will take place of CAPM and whether it is suit-able for Chinese stock market since it has undergone continuous development and changes of many years. This analysis is made through empirical test of the relation-ship between risk and return with the data of Chinese stock market during the recent years.(2)the features of Chinese stock market.The train of thoughts of this dissertation is to make empirical test of CMPA of classified Chinese stock market. Which will be expounded in5chapters. The first chapter is the introduction, which introduces the research background of the Capital Assets Pricing theory as well as the studying objectives and the train of thoughts. The second chapter introduces CMPA, discussing mainly about the theory of it. The third chapter is to make empirical study. After a classified comparison among the documents produced trough empirical test, this section summarizes domestic em-pirical test which includes the following several aspects:study on the effectiveness of CAMP in Chinese stock market, research on the risk investment portfolio and empirical study of documentary summary regarding β modulus estimation and the stability of β modulus. Then, the ways of CAPM empirical test are classified and many useful methods are concluded. Consequently, the research technique of this essay is defined. The fourth chapter focuses on the empirical test of the CAMP of china’s stock market. In this chapter, the author firstly studies the portfolio β mod-ulus and its stability and concludes there is relatively strong stability in β modulus among samples. Secondly, the test whether there is positive lineal relationship be-tween the expected ratio of return among all trades portfolio and βmodulus is made and the outcome shows that there is negative relationship. At the end of this chap-ter, empirical analysis is made of stock data between June6,2007and June4,2010. The results are also analyzed. The last chapter is to make conclusion, of the recent characteristics of Chinese stock market.According to the test of time series of the sample data and the result of the test of cross section, we can make the following conclusion:(1)the risk-free interest is positive, which conforms to the theory of CAPM.(2) there is a negative relationship instead of positive relationship between system risk and expected rate of return as is shown by CAMP.(3)non-system risk also affects greatly the return of stocks.Form the summary of empirical test in the first section of chapter one we know that many domestic scholars have made empirical test of the CAMP of china’s stock market. Though there are similarities between the conclusions of my dissertation and theirs, they mainly based on only some shares data and some index. This dis-sertation, in contrast, is based on the research of the data of31classified trades. The classification of the data is natural without any subjectivity. What’s more, the data originates from many trades and more information is covered.