Test of CAPM in China Stock Market

QR Code

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...

Full description

Bibliographic Details
Main Author:	Chen, Xin
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2006
Subjects:	CAPM two-stage regression market proxy
Online Access:	https://eprints.nottingham.ac.uk/20258/

Similar Items

An Empirical Test of CAPM: Evidence from Shanghai Stock Exchange 2001-2005
by: Wu, Xinxin
Published: (2006)

Test of CAPM in China Stock Market
by: Chen, Xin
Published: (2006)

Review and Comparison of the Models for Asset Pricing with Empirical Evidence from UK Stock Market
by: Tam, Ka Tung
Published: (2007)

Review and Comparison of the Models for Asset Pricing with Empirical Evidence from UK Stock Market
by: Tam, Ka Tung
Published: (2007)

Bulk Flow Behaviour of a Two-Stage Impedance Pump
by: Lee, Vincent, et al.
Published: (2014)

Analysis of the Liquidity Effect on Stock Return: Empirical Evidence from the UK Stock Market over the Period 1993-2008
by: Jiang, Shuai-yu
Published: (2009)

Dose Ethical Screening Sacrifice Financial Performance： Evidence From 13 Ethical Indices In Developed Markets
by: NIE, RUI
Published: (2013)

Valveless pumping using a two-stage impedance pump
by: Lee, Vincent, et al.
Published: (2013)

Testing the CAPM and the APT: Evidence from the UK Stock Market
by: WANG, Zheng
Published: (2010)

Testing the CAPM and the APT: Evidence from the UK Stock Market
by: WANG, Zheng
Published: (2010)

Risk, return and market condition: a new functional-beta capital asset pricing model
by: Zhuang, Yuchen
Published: (2009)

Is China's Stock Market Insulted from Bubbles? ------A Test of China's Stock Market
by: Zhao, Jing
Published: (2007)

Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach
by: Lavi, Evan Wiranata
Published: (2017)

Identification of stock market manipulation: a case study
by: Simpson, John, et al.
Published: (2008)

An Empirical Study of Comparison Between the Capital Asset Pricing Model and the Fama-French Three Factor Model: Evidence From Taiwan Stock Market
by: YEH, YU-JEN
Published: (2006)

Testing the CAPM and Three Factors Model in China: Evidence from the Shanghai Stock Exchange
by: Wang, Weixi
Published: (2015)

Testing the Sentiment-Scaled CAPM Model in China: Evidence from the Shanghai Stock Exchange
by: Sun, Shukun
Published: (2020)

Evaluation and Analysis The CAPM and APT Models in Spanish Stock Market
by: Liang, Yue
Published: (2012)

Bank depth, stock market liquidity and urbanisation at various stages of economic development and time period: a simultaneous equations approach
by: Jin, Xiaoxue
Published: (2017)

Three-level Z-source hybrid direct AC-AC power converter topology
by: Effah, Francis Boafo
Published: (2014)

A theory of distributional violence: an analysis of proxy wars in Africa, 1945-2011
by: Rauta, Vladimir
Published: (2017)

A tale of two lakes: a multi-proxy comparison of Lateglacial and Holocene environmental change in Cappadocia, Turkey
by: Roberts, Neil, et al.
Published: (2016)

Support vector regression with chaos-based firefly algorithm for stock market price forecasting
by: Kazem, A., et al.
Published: (2012)

A multifactor approach of the APT versus the CAPM for the UK stock market
by: Briffa, Christian
Published: (2008)

Risk and return nexus in Malaysian stock market- Empirical evidence from CAPM
by: Abu Hassan, Md. Isa, et al.
Published: (2009)

Is pollen size a robust proxy for moisture availability?
by: Jardine, Phillip E., et al.
Published: (2017)

The low volatility anomaly in Chinese equity market
by: Hong, Zhuoling
Published: (2023)

International market integration and market interdependence: evidence from China's stock market in the post-WTO accession period
by: He, Hongbo
Published: (2012)

Three-dimensional full loop modeling and optimization of an in situ gasification chemical looping combustion system
by: Shao, Yali, et al.
Published: (2017)

Effects of dam construction and increasing pollutants on the ecohydrological evolution of a shallow freshwater lake in the Yangtze floodplain
by: Zeng, Linghan, et al.
Published: (2018)

Testing the weak-form market efficiency of the Vietnamese Stock Market.
by: Bui, My Chau
Published: (2006)

Evaluation of Hedge Fund Performance
by: Zhang, Qi
Published: (2007)

HEMPEL's strategy for expansion in the Indian paint market
by: Christensen, Jesper Moller
Published: (2006)

Modelling bank performance: a network DEA approach
by: Fukuyama, Hirofumi, et al.
Published: (2017)

Volatility Forecasting during Stock Disaster in China A-share Stock Market
by: BAO, JINGYI
Published: (2018)

Expectile CAPM
by: Hu, Wei, et al.
Published: (2019)

A Bayesian approach for parameter estimation in multi-stage models
by: Pham, Hoa, et al.
Published: (2019)

Studies of Stock Pricing in China Small and Medium-sized Board -Based on CAPM and Three-Factor Model
by: LI, QINGTAO
Published: (2017)

An Empirical Study of IPO Underpricing in China: The IPO Systems Evolution and Determinants with Quantile Regression
by: Xu, Qianru
Published: (2018)

Testing Weak Form of Market Efficiency by Application of Simple Technical Trading rules on the Indian Stock Market
by: Agarwal, Ankit
Published: (2006)