A test of CAPM in China's stock market

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dc.contributor.advisor Ye, George
dc.coverage.spatial China
dc.creator Wang, Fan
dc.date.accessioned 2013-10-04T18:31:35Z
dc.date.available 2013-10-04T18:31:35Z
dc.date.issued 2013
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25275
dc.description 1 online resource (iii, 64 p.) : ill. (some col.)
dc.description Includes abstract and appendices.
dc.description Includes bibliographical references (p. 39-40).
dc.description.abstract Capital Asset Pricing Model (CAPM) developed by Sharpe, Linter and Mossin is an important milestone in the development of modern finance theory. For China's stock market, an emerging capital market, whether Capital Asset Pricing Model is valid or not needs to conduct further empirical research and testing. This dissertation selects 90 stocks from the Hushen 300 Index as the study samples, and the sample periods being from January 2010 to December 2010. With corresponding daily yield data, the CAPM model is estimated and tested, by using time series test and cross-sectional regression. This dissertation has found that CAPM model is not entirely applicable in China’s stock market and the impact of systemic of stock returns is weak. Because of the relatively short running time of the stock market and stock market is not mature, the market has been speculative and the stock prices were easily controlled. Overall, the CAPM is not valid in China’s stock market. en_CA
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dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title A test of CAPM in China's stock market en_CA
dc.title.alternative Test of Capital Asset Pricing Model in China's stock market
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)
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