CAPM In The Chinese Stock Market Test

Capital asset pricing model is a very important theory in the modern financial engineering, has also been widely used in reality. In order to deepen understanding of the capital asset pricing model, and better use of the stock market in our model, this paper introduces the capital asset pricing model and related theoretical basis for the corresponding empirical research. This paper takes the Shanghai A stock index number returns ratio as the market returns ratio, take one year time deposit account as the non-risk interest rate, selectes in January 2005 to December 2010 on the Shanghai stock market, 100 stocks weekly data as samples and uses two-way regression to carry on the real diagnosis examination to the Shanghai Stock market. Empirical tests show that the Shanghai stock market is not yet a mature market effective,βvalues can not become a significant factor in the interpretation of yield, factors other than the securities market, pricing played a significant role. In the current market, investors can not very well through the investment portfolio to reduce risk. In the current market environment, investors rely solely onβvalue shares of listed companies on China's stock market the relationship between risk and return accurately measure and guide investment decisions as the law is not yet feasible. Although China's stock market over the past two decades has made remarkable achievements, but China's stock market from the mature and efficient market is still a considerable gap. In order to build China's stock market is mature and effective services for the national market, we must continue our efforts.