The Empirical Research on the CAMP Model for Shanghai Stock Market in the Post-crisis Era

摘要：

The Shanghai A-share is presented by an empirical test using the Capital Asset Pricing Model (CAPM)in the post-crisis era event window in this paper. The test was carried out by means of Eviews software and quadratic regression models,selecting the closing prices of thirty shares from 2008 to 2010 as test samples. The results show that the (3-value is not a significant factor in the stock return rate; there is a positive relation between the rate of return and system risk; and the non-system risk of individual stock contributes to the capital asset pricing as well. To eliminate the non-system risk of individual stock,the test is modified by the stock portfolio based on the (3-value. As a result,it has drawn a conclusion that non-system risk of portfolio can be dispersed.

关键词： Capital asset pricing Average return System risk

作者: Yu-dong Wu

作者单位: School of Basic Science,Harbin University of Commerce,Harbin 150028,China

会议类型: 国际会议

会议名称: The Tenth Wuhan International Conference on E-Business(第十届武汉电子商务国际会议)

会议地点: 成都

会议语种:英文

页码: 957-961

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）