Open AccessEffectiveness of CAPM Model for Funds Based on Margin Trading in Chinese Market under the COVID-19 Pandemic
Author(s) -
Mingke Zhang
Publication year - 2021
Publication title -
financial forum
Language(s) - English
Resource type - Journals
ISSN - 2251-2659
DOI - 10.18282/ff.v10i4.2611
Subject(s) - capital asset pricing model , china , financial economics , stock market , margin (machine learning) , stock exchange , economics , business , security market line , systematic risk , financial market , finance , paleontology , horse , machine learning , political science , computer science , law , biology
The applicability of CAPM model in China was studied under the situation that the global economy was greatly affected. The results show that the stock exchange market in China is less affected by the epidemic. Still in China's securities market, the linear impact of systematic risk on the return on assets is not significant, while the non-systematic risk has a relatively significant linear impact on the return on assets. The CAPM model is not fully applicable in China's securities market. Except that the financial market in China is not sound enough, the reason for the inapplicability of the model would be the drawbacks of the model itself as the model is too sophisticated in its assumptions and there are many factors not considered, and the research direction of improving the model are summarised as pay attention to 6 types of asset pricing anomalies represented by value anomalies, and provide explanations for the causes of these pricing anomalies.