China’s Capital Market-based CAPM and BAPM Empirical Study
|School||Lanzhou Commercial College|
|Keywords||China's capital market Capital Asset Pricing Model Behavioral Asset Pricing Model Empirical research|
The 2005 split share structure reform is a landmark event for China's capital market self-redemption , in one fell swoop to repair China's securities market liquidity defects imprison illness . The past five years , China 's capital market, the rapid development and growth, the market has grown more than 10 times , degree of securitization close to the average level of developed countries , investors and investment knowledge penetration is higher than ever before , the securities market legal basis and constantly improve the regulatory system , short mechanism ( stock index futures ) is also determined to be introduced on April 16, 2010 . 2010 this round the liquidity reforms painting full stop of the year , the current flow of proportion has more than 50% of the full circulation will be completed at the end of this year , in this context of change , whether the improvement in China's securities market is not standardized , serious noise trading is still widespread , asset pricing system after undergoing a fundamental change in the circulation system need to be adjusted accordingly , are investors in the investment theory of practical and theoretical researchers study necessary concern . The Efficient Market Hypothesis and Markowitz's portfolio theory based on the capital asset pricing model (CAPM) is one of the Western mainstream asset pricing model , is a core part of modern financial theory . Stealthy rise of behavioral finance theory break through the traditional financial theory completely rational framework for analysis and it is perfectly rational investors ( and even irrational ) . On this basis, Shefrin and Statman (1994) dedicated to exploring the same time reflect the behavior of \It can be said , BAPM for the CAPM theoretical research provides a new perspective , creating a new situation in the CAPM theory research . Therefore, this article first introduces the traditional Western capital asset pricing theory and development , and then introduce behavioral asset pricing model proposed , the development and content of the basic theory and its empirical method , and then applied to the qualitative change in China's capital market , comparing the two models validity for a further extension of the application .