| In general, resource allocation is based upon pricing mechanism in stock market, so it is a hotspot at all times that making clear price behavior and pricing efficiency in financial investment field. However, we have different understanding on fluctuation of stock price. Marx thought stock price as capitalization of dividend, and earlier economists were inclined to price shares by analyze relation between supply and demand. Actually, both of the two standpoints could not be put to use in practice of investments, so new theoretical breakthrough was necessary. Hence modem Asset Pricing Theory came into being. This dissertation studies the pricing behavior of China's stock market, especial Shanghai A-Share Market with CAPM. In consideration of the short history and imperfect market mechanism, this thesis doesn't use the theory directly but endeavors to look for the difference between theory and practice. After getting the results of empirical tests, I tried to study the reason for the difference. On the basis of the results, this thesis evaluated the application of correlative theory and gave some development advice of China's stock market.In detail, some main concepts in this thesis are defined in theoretical parts, and besides, the outline of Portfolio Selection Theory and CAPM are presented in these parts. These theoretical tools with some empirical method together composed the concept formwork of this dissertation.We measured the correlativity and risk structure of sample stocks in Chapter 3. The risk decentralization effect of multi-investments has also been tested. Because it is about empirical tests of risk, this chapter used interrelation coefficient, index of risk decentralization and risk resolution index. The research found that the correlation of price fluctuation in Shanghai A-Share Market reduced and the proportion of systematic risk in total risk changed. Furthermore, multi-investments can resolve the most part of nonsystematic risk.In Chapter 4, the thesis estimated the value of by means of time series regression firstly. Secondly, we used ways of equilibrium analysis to test the Risk-Return relation of Shanghai A-Share. The chief means is section regression analysis. As a core of the thesis, this chapter compared the theory of CAPM with the practice of China's stock market. As a result, researcher found that the of sample stock was volatile and the linear relation of the model was not distinct. Lastly, the study shows nonsystematic risk will make expected return change.Chapter 5 completed the empirical contents of Chapter 3 and 4, and gave the causation of theirresults. Some theoretical documents and practical condition of our stock markets were the main material of this chapter. Results showed that the change of risk structure is affiliated with diversity of investors and rationality of themselves. It also has something to do with the reduction of government interference. On the other hand, the fluctuation of stock market and some characteristic factors of individual stock made become volatile. So we think that is not the best explanation which fits for the price change of Shanghai A-Share. At last, this chapter discussed that without suitable riskless assets and selling short mechanism led the difference between CAPM and practice of China's stock market.After positive analysis, this thesis came to the conclusions and gave some appraisal for application. The brief conclusions go as follows.1. The risk structure of Shanghai A-Share Market have change more than that in earlier time, and the linkage relation of stock price have been weakened.2. The effect of Portfolio investment strategy is become more and more remarkable.3. The systematic risk of Shanghai A-Share changes timely, and individual stock price compare with the change of market index are elastic. The return presents fluctuation with macro-economy factors and single-index model cannot reflect the change of stock price.4. The explanation function of to return ratio is limited. The average return ratio...
|
PDF Full Text Request