Proceedings of the 2018 International Conference on Computer Science, Electronics and Communication Engineering (CSECE 2018)

Empirical Test of Arbitrage Pricing Model for the SSE 50 Index Stocks

Authors
Mingyue Ding, Yumei Pan, Yanqiang Ding
Corresponding Author
Mingyue Ding
Available Online February 2018.
DOI
https://doi.org/10.2991/csece-18.2018.79How to use a DOI?
Keywords
arbitrage pricing model; principal components analysis; SSE 50 index composite stocks
Abstract
The objective of this paper is to test the applicability of arbitrage pricing theory specifically for the performance of the SSE 50 Index composite stocks listed on China's Shanghai Stock Market. Two groups of the SSE 50 Index stocks have been selected and tested. Principal component analysis is used to extract the common factors that influence the daily mean rate of return without dividends of the selected stocks for the period from January 2, 2014 to July 21, 2017. Two-pass regression method is employed to test the significance of the common factors in arbitrage pricing model. The main ?ndings in this analysis are that for the ?rst group of 15 persistently included stocks in the SSE 50 index there could not be found out signi?cant common factors, and for the second of 11 in-then-out stocks of the SSE 50 index there could be found out two signi?cant common factors. The results of this study suggest that we should investigate separately into speci?c blocks of capital markets when we are checking the applicability of arbitrage pricing theory and designing optimal quantitative investment strategies based on arbitrage pricing model.
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Proceedings
2018 International Conference on Computer Science, Electronics and Communication Engineering (CSECE 2018)
Part of series
Advances in Computer Science Research
Publication Date
February 2018
ISBN
978-94-6252-487-3
ISSN
2352-538X
DOI
https://doi.org/10.2991/csece-18.2018.79How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Mingyue Ding
AU  - Yumei Pan
AU  - Yanqiang Ding
PY  - 2018/02
DA  - 2018/02
TI  - Empirical Test of Arbitrage Pricing Model for the SSE 50 Index Stocks
BT  - 2018 International Conference on Computer Science, Electronics and Communication Engineering (CSECE 2018)
PB  - Atlantis Press
SN  - 2352-538X
UR  - https://doi.org/10.2991/csece-18.2018.79
DO  - https://doi.org/10.2991/csece-18.2018.79
ID  - Ding2018/02
ER  -