An Empirical Study on the Applicability of the CAPM Model in the Shanghai A-Share Market
DOI:
https://doi.org/10.54097/2ewtvm35Keywords:
CAPM Model, Shanghai A-Share Market, Market EfficiencyAbstract
The Capital Asset Pricing Model (CAPM) is widely used to explore the efficiency of China's stock market, and the theory of securities market efficiency also serves as the foundation for studying whether CAPM is applicable to China's stock market. This paper selects the weekly returns of the top 18 enterprises by market capitalization in the Shanghai A-share market from January 2020 to December 2022 as the research object, conducts an empirical analysis on the applicability of CAPM in the Shanghai A-share market, and performs the Fama-Macbeth test on the empirical results. It is concluded that CAPM has limited applicability in China's stock market.
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References
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