Test of CAPM in China Stock Market
In this dissertation some representative historical empirical tests of CAPM are reviewed. Then we examine the validity of the CAPM from the year 2001 to 2005 for Shanghai Stock Exchange, which is one of the two stock markets in mainland China. Using the methodology of Fama and MacBeth (1973), I find...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2006
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| Online Access: | https://eprints.nottingham.ac.uk/20258/ |
| _version_ | 1848792044816826368 |
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| author | Chen, Xin |
| author_facet | Chen, Xin |
| author_sort | Chen, Xin |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | In this dissertation some representative historical empirical tests of CAPM are reviewed. Then we examine the validity of the CAPM from the year 2001 to 2005 for Shanghai Stock Exchange, which is one of the two stock markets in mainland China. Using the methodology of Fama and MacBeth (1973), I find that the market beta does not seem to play a significant role in explaining the cross-sectional returns, which is inconsistent with the conclusion of the previous research reached by Fama and MacBeth. However, it should be addressed that all the empirical tests of CAPM including the one that has been done in the dissertation may face some inevitable criticism such as the doubt in whether the CAPM is testable. |
| first_indexed | 2025-11-14T18:38:09Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-20258 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:38:09Z |
| publishDate | 2006 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-202582018-01-25T19:21:36Z https://eprints.nottingham.ac.uk/20258/ Test of CAPM in China Stock Market Chen, Xin In this dissertation some representative historical empirical tests of CAPM are reviewed. Then we examine the validity of the CAPM from the year 2001 to 2005 for Shanghai Stock Exchange, which is one of the two stock markets in mainland China. Using the methodology of Fama and MacBeth (1973), I find that the market beta does not seem to play a significant role in explaining the cross-sectional returns, which is inconsistent with the conclusion of the previous research reached by Fama and MacBeth. However, it should be addressed that all the empirical tests of CAPM including the one that has been done in the dissertation may face some inevitable criticism such as the doubt in whether the CAPM is testable. 2006 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/20258/1/06MAXINCHEN%28with_content%29.pdf Chen, Xin (2006) Test of CAPM in China Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) CAPM two-stage regression market proxy |
| spellingShingle | CAPM two-stage regression market proxy Chen, Xin Test of CAPM in China Stock Market |
| title | Test of CAPM in China Stock Market |
| title_full | Test of CAPM in China Stock Market |
| title_fullStr | Test of CAPM in China Stock Market |
| title_full_unstemmed | Test of CAPM in China Stock Market |
| title_short | Test of CAPM in China Stock Market |
| title_sort | test of capm in china stock market |
| topic | CAPM two-stage regression market proxy |
| url | https://eprints.nottingham.ac.uk/20258/ |