The Improve And Empirical Study Of CAPM Model Of The A-share Market Stocks

With the development of great bull market in China's securities market in 2007, more and more people concerned on the stock market.Even more all chnese people want to get some from the stock market.The income and risk of stocks is a difficult topic for financial economics, which is studied in this thesis by checking related CAPM models by using econometric knowledge. Then by researching the linkage of trade and market we try to improve the stock's gains and to determine the risk.We first analyze the theoretical of CAPM mode, then carry on the newest examination to the traditional CAPM model under the newest sample space, in order to obtain the the growth of financial markets compared with the past.Next we do parameter examination,lateral section examination and stable examination to it ,hoping to find the reasons of the difference betweenβand the theoretical value.In Chapter Four we hope to confirm the card index and the linkage between the industry index in accordance with CAPM theory.The results show that not all industry index has a linkage with Shanghai Stock Index. therefor, we use the industry index in lieu of Shanghai Stock Index to get a betterβcoefficient to to carry on the fixed price to the stock property.Through the empirical analysis we know that: it is clear we can see any likelihood of China's securities market system is not perfect, any likelihood of investors is not mature enough to monitor the weak non-ran from the single-factor analysis of the CAPM model results.We research the linkage between Shanghai index and the industry index,and find that the linkage is not present in every industry, and that is to say some can be "independence" in the longer period of time. Thus, we use the industry Index to replace Shanghai Stock Index, although the outcome is not ideal, but the superiority of the above is a comprehensive card index of more than a factor of pricing.