Empirical study on China stock market base on Fama-French model

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2 Citations (Scopus)

Abstract

There are a lot of argument about three factor studies by Fama and French. Furthermore, there is also no certain confirmation about the three factor effects in china stock market. This study employed the three-factor model to determine the significant factors that affect China Shanghai Security Exchange (SSE). Factors chosen in this study were A-share index, size and Book-to-Market Ratio (BM). The regression between the portfolio returns and three factors was explored in the study. The results showed that the larger the size of the portfolio the lower the average returns were, contrarily, the average returns were higher for portfolios with higher BM. However, this study did not show significant influence on SSE. There should be more work on China stock market and other factors should be explored.

Original languageEnglish
Article number70640
JournalIndian Journal of Science and Technology
Volume8
Issue number11
DOIs
Publication statusPublished - 2015

Fingerprint

Empirical study
Factors
China's stock market
Fama-French model
Shanghai
Book-to-market ratio
China
Fama-French three-factor model

Keywords

  • Book-to-market ratio
  • Returns
  • Size

ASJC Scopus subject areas

  • General

Cite this

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title = "Empirical study on China stock market base on Fama-French model",
abstract = "There are a lot of argument about three factor studies by Fama and French. Furthermore, there is also no certain confirmation about the three factor effects in china stock market. This study employed the three-factor model to determine the significant factors that affect China Shanghai Security Exchange (SSE). Factors chosen in this study were A-share index, size and Book-to-Market Ratio (BM). The regression between the portfolio returns and three factors was explored in the study. The results showed that the larger the size of the portfolio the lower the average returns were, contrarily, the average returns were higher for portfolios with higher BM. However, this study did not show significant influence on SSE. There should be more work on China stock market and other factors should be explored.",
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