Capital Market Analysis

摘要

The purpose of this paper is to test whether the capital asset pricing model (CAPM) is valid in two Chinese stock markets. Both STATA and EXCEL software were used on account of processing the empirical data (samples) available for Shanghai and Shenzhen stock exchanges. Additionally, this paper adopts the single index model to estimate the beta coefficient of individual stocks as well as cross-sec-tion tests to analyze the relationship between expected stock returns and beta coefficient.