Study Of The Applicability Between CAPM And BAPM Based On Our Country’s GEM

Established above the Markowitz’s asset portfolio theory and Effective Market Hypothesis, CAPM has been the finance fundamental research hot spot from proposed. Along with the market unceasing development and the financial theories unceasing deepening, in the market appeared more and more heteromorphism which unable to be explained with CAPM, many classics hypotheses are proven to be difference with actual situation, the CAPM model and the effective market hypothesis have received the stern challenge, the behavior finance theory which unifies with the psychology research is precisely one of the challengers. BAPM, proposed by Shefrin and Statman, in1993, thought the investors in market are by no means the rational investors, rational investors and non-rational investors both existed, they sum up this part of investors as the noise trader. Proposed of the noise trade once again tested serviceability of CAPM, more and more scholars devote to discussing the serviceable question of CAPM and BAPM.Our GEM started in October30,2009, experiences only more than3years, few studies have been taken on it and in particular the empirical studies are few. Along with capital market’s unceasing development, the GEM becomes an indispensable part. In order to adapt the market high speed development, needs to consummate day by day the market system, but each system and the policy consummation cannot leave the theory and the empirical study. Whether in GEM to be flooding the noise trader? Whether the noise trader does occupy the market dominant position? If the noise trader occupies the dominant position, then whether BAPM serviceability to surpass CAPM in our GEM? Whether the capital fixed price system must therefore change? This series of questions are the investors in the investment practice cared and also worth discussing by the theory researchers.Therefore, this article first analyzed the related research of domestic and foreign, after analyzed CAPM and BAPM, applied these two theories in our GEM, compared the serviceability of them, then did some further extends based on them. In the empirical process, mainly uses Excel and the Eviews software, the main method is the time series return as well as the cross section data return (the least squares method), the main data is the GEM date returns ratio, the stock date returns ratio, the non-risk date returns ratio as well as this article uses the turnover rate and the oscillation amplitude construction the revision Dynamic Volume Index——Two factor Dynamic Volume Index (TDVI), all data gain from the RESSET finance research database. To study conveniently, has selected196sample stocks and from July1,2011to June30,2012totally242trading day carries on the construction of TDVI. In comparative analysis CAPM and BAPM process, to facilitate discusses, selected30sample stocks according to the profession.Through the empirical study, has drawn the following conclusion and explained:(1) in the traditional beta and in the behavior beta’s estimate, discovered that the traditional beta value was higher than the behavior beta value obviously, the NTR remarkable existence. The author thought that this is possibly because of the following several reasons:obvious "policy city" characteristic; the congenial ingredient is excessively high; lack of spatial mechanism; GEM’s special risk income structure.(2) In with exceeds the quota in the returns ratio relevant examination to the noise trader risk, used week returns ratio data, discovered the coefficient of NTR was timing negative, showed the noise transaction while brings the high quota income to the investor, also will bring the extra loss possibly. This is possibly because of sample selective deviation or "announcement effect" the influence.(3) In the assets pricing model’s validity check, discovered that the CAPM’s absolute value slope is smaller than the BAPM’s absolute value slope, its difference was not0, and statistically remarkable, showed that BAPM suited our GEM better.In view of the empirical conclusion, this article also proposed the following policy suggests:(1) because in GEM universal existence noise trader, the government may standard GEM’s listing mechanism, delisting mechanism and transaction mechanism gradually, improves the quality of listed enterprise, strengthens the investor belief to reduce noise transaction.(2) Optimizes the supervising mechanism. The noise transaction is to a great extent because the insider trading tips cause pursues rises and kills falls, the government should strengthen the surveillance, optimize GEM information disclosure mechanism, causes the market information more transparent, to reduce the noise transaction.(3) Strengthens the education to investor, gives the special caution to the GEM’s risk.(4) Optimizes the stock market appropriation of profit mechanism, expands the investor income structure, and improves the sole structure that obtains the income purely through the price rise and drop, to reduce the noise transaction.Certainly, in the process of studies, this article also had some insufficiencies, waiting for improving unceasingly in the later research and consummating:(1) In estimating noise trader risk, only selected30stocks to take the sample, would present the sample choice deviation possibly. Because the GEM listing time was not long, this article selected only from July1,2011to June30,2012data, the time span was not so long.(2) This article didn’t discuss the model fitting degree separately to the stock market rising period and the drop time, waits for further deep research.