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International Journal of New Developments in Engineering and Society, 2020, 4(4); doi: 10.25236/IJNDES.040409.

STATISTICAL ANALYSIS AND INTERPRETATION OF SHANGHAI STOCK EXCHANGE 50 USING CAPM

Author(s)

Yue You

Corresponding Author:
Yue You
Affiliation(s)

Suzhou highschool of Jiangsu province
699 Renmin Road, Gusu District, Suzhou, Jiangsu Province, China
215008

Abstract

The Covid-19 pandemic exerted huge influences upon various aspects of the society, including stock markets. It is interesting to investigate various stocks during the Covid-19 pandemic. Will the stock market act differently from before? In this paper, we will conduct an analysis of stocks in SSE50 from 2019 to 2020 with a special focus on their dependency on the market and potential risks. The general method will be using CAPM standard equation and linear regression to compute the residual returns of different stocks, and then using sample variance to get the variance of the residual return. Based on collected market data, the quantative linear relationship between stock expected return and potential risk will be estimated and interpreted, which helps to easily figure out how risky an asset is, how fluctuant the actual excess returns of the portfolio are, and how hard for the risk of a stock to be explained by the market.

Keywords

Acknowledgement ,goals,Research Methods

Cite This Paper

Yue You. STATISTICAL ANALYSIS AND INTERPRETATION OF SHANGHAI STOCK EXCHANGE 50 USING CAPM. International Journal of New Developments in Engineering and Society (2020) Vol.4, Issue 4: 102-111. https://doi.org/10.25236/IJNDES.040409.

References

[1] https://en.wikipedia.org/wiki/SSE_50_Index
[2] Richard C. Grinold Ronald N. Kahn.  Active Portfolio Management. A Quantitative Approach for Providing Superior Returns and Controlling Risk
[3]https://www.investopedia.com/terms/c/capm.asp#:~:text=The%20Capital%20Asset%20Pricing%20Model%20(CAPM)%20describes%20the%20relationship%20between,assets%20and%20cost%20of%20capital.
[4] https://pdf.maitube.com/pdf/?e=aghPV6OblD14Ua
[5] https://www.investopedia.com/terms/i/industry.asp
[6]http://www.csindex.com.cn/en/indices/index-detail/000016