| The capital asset pricing model, as one of the core theory of modern economics and finance research, it was founded in 1964.Starting in the 1970 s, a large number of scholars began to study the capital asset pricing model. However, the results of the study of the western scholars have very big difference. In recent years, Chinese scholars have focused on research the applicability of the capital asset pricing model in Chinese securities market. The vast majority of scholars’ research results show that the capital asset pricing model in Chinese securities market is not applicable. But the capital asset pricing model is a very powerful theoretical tool. If you can put it in our country securities market of science, the meaning is given a key for our investors.This article selects on January 1, 2010 to December 31, 2014 of China’s securities market’s 31 industry index daily closing price. This article is mainly on two aspects of research: One is for beta coefficient and its stability under different market trends; the other is that the sample data are empirically the capital asset pricing model.The article was divided into four parts. The first part is introduction. T his part mainly introduces the background of the study on the capital asset pricing model in our country, and points out that research idea of this article and the article structure arrangement. Then, the one introduces a series of research results about the capital asset pricing model, both at home and abroad. The second part mainly discusses the related theories of the capital asset pricing model and the systemic risk. by introducing the basic situation of the capital asset pricing model, the one Leads to systemic risk’s characteristics, influence factors and application etc. The third part is the empirical part, also is the most important part of this article. First of all, this part introduces the reasons of the sample’s selection and Industry classification method. Then, this is the premise of the empirical test. This part introduces the estimation method of the industry beta coefficient. Followed by an empirical analysis of the industry for the beta coefficient, this part is the core of the empirical test. To estimate the beta coefficient of various industries, to get industry beta coefficient under different trends of time series values, and to get the inspection results of empirically correlation between the beta coefficient and its industry yields. The fourth part is the conclusions and recommendations. According to the empirical test results, to come to the conclusion and summarize the research results in this paper. In combination with the practical situation of China’s securities market, explaining the conclusion of this paper is the last step. And on this basis, to make the investment advice to investors in the securities market in China.In this article, through the result of the sample data empirically analysis shows:(1) through the beta coefficient calculation, more than half of the industry performance system have a higher risk, and more lively;(2) the sample data of 31 industry beta coefficient in a bear market stage performance has good stability, and in the bull market phase stability performance is weaker;(3) the correlation is different between yield and the beta coefficient of different industries. The bear market phase of individual beta coefficient to explain the profitability is stronger than the bull market phase.On the basis of empirical test, this paper analyses the causes of the results. The main reason is that the reality of the securities market of our country. Although the securities market in our country at present development soon, but compared with the developed securities market, China’s securities market development time is short, all the associated policies in the market is imperfect, the low degree of information into the open market. At the end, according to the empirical test results, the paper puts forward some investment advice for investors in China securities market. |
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