IPO Suspended Impact On CAPM

To test whether IPO suspended positive impact on the applicability of CAPM model, that compare and analyze before and after the data of the seventh IPO suspended from 16 September 2008 to 10 July 2009,used for static and dynamic test method. In the static test method, BJS and FM test method is used to construct three sets of data. The first group research the applicability of the model before IPO suspended(2006-2008), and the second group study the applicability of the model in newly shares(2010-2012), and the third group investigate after the restarted IPO the applicability of model in issued shares(2010-2012). In the dynamic test method, firstly, two time points that is September 16,2008 and July 10,2009 were tested with Chow test, to test the existence of transition. Secondly, the entire sample period is divided into several subsample with smooth moving backward, to examine the applicability of the model in every subsample from January 1,2006 to December 31,2012. The results showed that The issued shares’ systemic risk more affect its rate of return after the restarted IPO, but CAPM model is still not applicable for the newly issued shares. The applicability of CAPM model has not significantly improved before and after IPO suspended.