A Study on the Relationship Between CAPM and China Stock Market

DOI

10.2991/icmess-18.2018.302How to use a DOI?

Keywords

CAPM; China stock Market; Western stock Market

Abstract

The Capital Assets Pricing Model (CAPM) has been one of the most important theories in finance, since that was developed by Sharpe and Lintner in1960s. This paper studies the applicability of the CAPM on China stock market, which is an emerging stock market. Firstly the paper presents an outline of China Stock market. Secondly the paper reviews evolution of the CAPM by looking back existent literatures. That includes the studies that challenge it, the studies that against those challenges, and tests of the CAPM in China stock Market. Finally, the finding is that the relationship between expected return and risk is not linearly positive. In addition, there is significant evidence to conclude the existence of other factors differ from β that affect expect return. Therefore the conclusion of the paper shows that the CAPM is not applicable in China Stock Market.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yan Gao
AU  - Xin Yang
PY  - 2018/06
DA  - 2018/06
TI  - A Study on the Relationship Between CAPM and China Stock Market
BT  - Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)
PB  - Atlantis Press
SP  - 1373
EP  - 1377
SN  - 2352-5398
UR  - https://doi.org/10.2991/icmess-18.2018.302
DO  - 10.2991/icmess-18.2018.302
ID  - Gao2018/06
ER  -