Empirical Test of the Effectiveness of CAPM for Shanghai Stock Market-Based on Industry Grouping

Xiao, Zhenyan; Yang, Yixin; Li, Liangfu; Zhong, Yongjun

doi:10.2991/febm-19.2019.24

Cited by 4 publications

(5 citation statements)

References 4 publications

(5 reference statements)

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“…Zhang Hu et al argued that although China's stock market is maturing, the CAPM model is still not fully applicable to China's stock market because only a very low portion of portfolio returns can be explained by β [11]. Zhenyan Xiao et al argued that although the CAPM has a certain degree of explanatory power for some industries, for the entire Shanghai stock market, the validity is far from enough [12].…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of COVID-19 Pandemic on the Effectiveness of the CAPM Model: Evidence from the Chinese Market and Pharmaceutical Industry

Qin,

Yang

2024

AEMPS

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After years of development, the Capital Asset Pricing Model (CAPM) has been widely used in financial and economic fields. However, there is great controversy about whether this model is effective in the Chinese market. To examine it, the paper uses data from 185 stocks in the pharmaceutical industry and 1,130 stocks in the Shanghai Stock Exchange A-share. Then calculates the returns of these stocks and uses the BJS time-series method for two periods, one from 1 January 2017 to 31 December 2019, and the other from 1 January 2020 to 31 December 2022, performing three-stage regressions respectively. Ultimately, the paper finds empirically that the pharmaceutical industry and the market have a positive but non-significant linear relationship between expected stock returns and systematic risk before Covid-19 and a negative but still non-significant linear relationship between expected stock returns and systematic risk after the pandemic. In this paper, we investigate the effectiveness of the model in the pharmaceutical industry and the market before and after the pandemic, which can further promote the research on its effectiveness in the Chinese stock market.

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Section: Literature Reviewmentioning

confidence: 99%

The Impact of COVID-19 Pandemic on the Effectiveness of the CAPM Model: Evidence from the Chinese Market and Pharmaceutical Industry

Qin,

Yang

2024

AEMPS

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“…Xiao, Z., Yang, Y., Li, L., & Zhong, Y. (2019, December) [2] applied the yield to maturity of one-year Treasury bonds to measure the risk-free rate due to the no default risk on our government bonds. Therefore, this article also selects the yield to maturity on the one-year bonds as the risk-free interest rate from Information Memorandum [3] to get the data, take the average during the test and get 1.98%.…”

Section: Measurement Of the Risk-free Rate Of Return 𝐑 𝐟mentioning

confidence: 99%

Validity of Capital Asset Pricing Model(CAPM)Empirical Research on the Panel Industry in China

Zhang

2023

AEMPS

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In recent years, the stock of the panel industry has developed well and the country has invested heavily in this industry, so investors are enthusiastic about the panel industry. Based on the investment potential of the panel industry, this paper selects the latest data of 12 stocks in Shenzhen Stock Exchange from January 1, 2007 to December 31, 2021, and uses the capital asset pricing model (CAPM) to conduct an empirical study on China's panel industry. The results show that the applicability of the coefficient panel industry is not strong, and the applicability of the CAPM model in the panel industry is not good. At the same time, combined with the stock market environment of China's panel industry, this paper makes a further analysis of the CAPM model, and puts forward some investment suggestions for investors the following investment suggestions for reference: evaluating the risk of assets by using a number of indicators before investment; seizing the investment opportunities of upstream new materials and so on.

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“…Selain itu, CAPM juga dapat dijadikan metode pengambilan keputusan penganggaran modal dalam lingkungan eksternal yang dinamis, bertumbuh bahkan ketika terjadi ambiguitas informasi maupun krisis (Negrea & Toma, 2017;Susanti et al, 2020). CAPM juga dapat dimanfaatkan untuk pengambilan keputusan terkait penganggaran modal pada berbagai jenis organisasi (Ferreira Savoia et al, 2019;Xiao et al, 2019).…”

Section: Telaah Pustakaunclassified

“…Penyertaan modal pemerintah harus memperoleh return sesuai dengan risiko yang ditanggung. Hasil analisis perhitungan biaya modal menggunakan CAPM yang menjadi dasar pengambilan keputusan investasi proyek pemerintah daerah mendukung pernyataan (Ferreira Savoia et al, 2019;Xiao et al, 2019) yang menyatakan bahwa CAPM dapat dimanfaatkan untuk pengambilan keputusan terkait penganggaran modal pada berbagai jenis organisasi, termasuk organisasi publik seperti pemerintah daerah.…”

Section: Pembahasanunclassified

Aplikasi Capital Asset Pricing Model dalam Evaluasi Kelayakan Investasi Daerah

Harijono¹,

Kristanto²,

Atahau³

2021

persi

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Otonomi daerah mendorong pemerintah daerah untuk berinvestasi sebagai salah satu sarana meningkatkan pertumbuhan ekonomi daerah. Dalam rangka mengevaluasi keputusan investasi daerah perlu dilakukan analisis penganggaran modal. Capital Asset Pricing Model adalah metode perhitungan biaya modal dalam analisis investasi yang digunakan secara luas di dunia usaha. Penelitian ini bertujuan mengkaji aplikasi CAPM dalam keputusan investasi daerah. Dengan menggunakan data sekunder dari laporan keuangan dan laporan auditor hipotetis selama periode 2012-2017, hasil penelitian menunjukkan bahwa CAPM dapat digunakan dalam pengambilan keputusan inevstasi daerah. Dengan demikian, analisis kelayakan investasi pemerintah daerah dapat menggunakan CAPM karena CAPM sebagai alat evaluasi akan memberikan obyektifitas penliaian yang diperlukan agar keputusan investasi yang diambil menjadi tepat.

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Empirical Test of the Effectiveness of CAPM for Shanghai Stock Market-Based on Industry Grouping

Cited by 4 publications

References 4 publications

The Impact of COVID-19 Pandemic on the Effectiveness of the CAPM Model: Evidence from the Chinese Market and Pharmaceutical Industry

The Impact of COVID-19 Pandemic on the Effectiveness of the CAPM Model: Evidence from the Chinese Market and Pharmaceutical Industry

Validity of Capital Asset Pricing Model(CAPM)Empirical Research on the Panel Industry in China

Aplikasi Capital Asset Pricing Model dalam Evaluasi Kelayakan Investasi Daerah

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