Abstract

The empirical research of application of CAPM in China market

Author(s): Jianhua Dai, Jian Hu, Songmin Lan

Since the birth of CAPM, it has undergone many scholars empirical research and tests. The main purpose of the paper is to conduct a study of CAPM in China’s Stock markets. The data for this study are Stocks data and combined data of Shanghai Stock Exchange. Empirical analysis of these data has been carried out by way of t-statistics and joint test to verify whether CAPM model would be true of China’s stock market. And the conclusion was reached that CAPM model is essential in China's stock market. Thus, CAPM model can be used to promote the development of China's stock market. And this model can be applied in empirical analysis and theoretical study on the market