The Shanghai Stock Market Stock Returns Influencing Factors

The modern theory of investment is based on Harry Markowitz's historical paper"Securities Combination Alternative", which was issued in 1952. After that, William Sharp put forward CAPM (Capital Asset Pricing Model) in 1963. Then, Ross introduced APT (Arbitrage Pricing Theory) in 1976, which was directed against the lack of CAPM. With the development of financial market, more and more theories appeared which started to challenge the classical pricing theory and the theory of efficient mark, such as the theory of Behavior Finance. This theory together with psychological research analyses the investor's determination under an uncertain environment. Its interpretation to market is rapidly noticed by the mainstream economist, but its shortcoming lies in the difficulty of econometrics research to asset pricing.Generally speaking, the classical pricing theory and the theory of efficient market is in the core of mainstream finance and the argument of EMH or CAPM has never ceased. On the other hand, with development of econometrics, its model becomes more and more important in financial theory. For example, the impact to stock market after the ARCH model is introduced. The innovation makes the verification of theory easier and it improves the development of theory in the meanwhile. Econometrics has become the most important research means of modern finance.This paper concentrates Shanghai Stock Market and researches the factors affecting Shanghai Stock Market's return by means of econometrics. First, this paper divides the factors into 3 types: investor's behavior, systematical risk and corporate characteristic. And this paper is focused on finding these 3 factors and researching. That is to say, we are trying to answer the following 3 questions: 1, if the effect of ARCH is explained as result of investor's behavior, does this effect impact the stock's average return? 2, ifβcoefficient is used to represent systematical risk, does it...