Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

China’s Capital Market-based CAPM and BAPM Empirical Study

Author LiuXiQiang
Tutor MaBaoPing
School Lanzhou Commercial College
Course National Economics
Keywords China's capital market Capital Asset Pricing Model Behavioral Asset Pricing Model Empirical research
CLC F832.51
Type Master's thesis
Year 2010
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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 .

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