The Applicability of Capital Asset Pricing Model in Shenzhen A-shares

Yibo Li; Yuyuan Gu

Proceedings of the 2nd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2023, May 26–28, 2023, Nanjing, China

Research Article

The Applicability of Capital Asset Pricing Model in Shenzhen A-shares

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@INPROCEEDINGS{10.4108/eai.26-5-2023.2334337,
    author={Yibo  Li and Yuyuan  Gu},
    title={The Applicability of Capital Asset Pricing Model in Shenzhen A-shares},
    proceedings={Proceedings of the 2nd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2023, May 26--28, 2023, Nanjing, China},
    publisher={EAI},
    proceedings_a={MSEA},
    year={2023},
    month={7},
    keywords={shenzhen a-shares capital asset pricing model},
    doi={10.4108/eai.26-5-2023.2334337}
}

Yibo Li
Yuyuan Gu
Year: 2023
The Applicability of Capital Asset Pricing Model in Shenzhen A-shares
MSEA
EAI
DOI: 10.4108/eai.26-5-2023.2334337

Yibo Li¹^,*, Yuyuan Gu¹

1: Macau University of Science and Technology

*Contact email: liyiboqwer@outlook.com

Abstract

This paper empirically tests the effectiveness of CAPM in the Chinese securities market using industry index data from 2012 to 2020 based on the industry grouping approach and with reference to the relevant research base of Chinese and foreign scholars. And draw the following conclusion: CAPM model is generally applicable to Shenzhen A-shares during 2012-2020.

Keywords: shenzhen a-shares capital asset pricing model

Published: 2023-07-21
Publisher: EAI

: http://dx.doi.org/10.4108/eai.26-5-2023.2334337