Risk Analysis And Empirical Test Of The CAPM Model Of Shanghai Stock Market Based On The Market Index Portfolio

The capital asset pricing model reveals the correlation between expected return and risk assets in the capital market, it describes the relationship between the return on assets and market risk in the equilibrium state. Automatically, Its applicability and effectiveness has been the concern of many scholars, developed capital market has done a lot empirical test for it since the last century seventy’s and eighty’s. A large number of scholars began to test the applicability and effectiveness of CAPM since the 90s in our country, but it didn’t get the same conclusion. It is necessary to test the applicability and effectiveness of the CAPM along with our country continue to regulate the stock market.With the data concerning 12 weekly return on the Shanghai Composite Index from December 10,2010 to July 10,2015, this dissertation mainly focus on the study of the following two aspects:the first one is the study of portfolio β coefficient and its stability, another one is the empirical test of CAPM with the sample data.This dissertation used the Shanghai Composite Index as the stock portfolio, it is different from the predecessors. The advantage is that it could effectively weaken the factors of subjective choice, and the Shanghai Composite Index is diverse on the choice of constituent stocks and weights, it’s not unique, that would be benefit to the empirical test of CAPM work. This dissertation used the R software and the latest stock market data to get the result of empirical test through the heteroskedasticity test, autocorrelation test, normality test of the regression equation and the stability test of profit on rigorous measurement instruments. There are some following conclusions by analyzing the result of empirical test:excess return on stock portfolio and market portfolio are positive linear correlation in the time series regression, more than 83% regression equations passed the stationary test, heteroskedasticity test, autocorrelation test and normality test; Different sample interval lead to different test results, systematic risk and expected return are sometimes positive and sometimes negative correlation, or simply irrelevant in the cross-sectional regression test, it meant that the Shanghai stock market is not an efficient market, the speculative element is still relatively large; Expected return and non-systematic risk and systematic risk had a significant linear relationship and the relatively goodness of fit after leading into the non-systematic risk, it meant that the expected return is not only dependent on systemic risk but also dependent on non-systematic risk largely.