{"title":"Empirical Test of the Effectiveness of CAPM for Shanghai Stock Market-Based on Industry Grouping","authors":"Zhenyan Xiao, Yujian Yang, Liangfu Li, Yongjun Zhong","doi":"10.2991/febm-19.2019.24","DOIUrl":null,"url":null,"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. Keywords—CAPM; β coefficient; time series test; section data test","PeriodicalId":417272,"journal":{"name":"Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the Fourth International Conference on Economic and Business Management (FEBM 2019)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2991/febm-19.2019.24","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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. Keywords—CAPM; β coefficient; time series test; section data test
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