Price returns efficiency of the Shanghai A-Shares

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
PublisherAmerican Institute of Physics Inc.
Pages1078-1084
Number of pages7
Volume1602
ISBN (Print)9780735412361
DOIs
Publication statusPublished - 2014
Event3rd International Conference on Mathematical Sciences, ICMS 2013 - Kuala Lumpur
Duration: 17 Dec 201319 Dec 2013

Other

Other3rd International Conference on Mathematical Sciences, ICMS 2013
CityKuala Lumpur
Period17/12/1319/12/13

Fingerprint

China
adjusting
estimates

Keywords

  • Returns
  • stock market efficiency
  • time-series

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Long, W. J., Jaaman @ Sharman, S. H., & Samsudin, H. B. (2014). Price returns efficiency of the Shanghai A-Shares. In AIP Conference Proceedings (Vol. 1602, pp. 1078-1084). American Institute of Physics Inc.. https://doi.org/10.1063/1.4882618

Price returns efficiency of the Shanghai A-Shares. / Long, Wang Jiang; Jaaman @ Sharman, Saiful Hafizah; Samsudin, Humaida Banu.

AIP Conference Proceedings. Vol. 1602 American Institute of Physics Inc., 2014. p. 1078-1084.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Long, WJ, Jaaman @ Sharman, SH & Samsudin, HB 2014, Price returns efficiency of the Shanghai A-Shares. in AIP Conference Proceedings. vol. 1602, American Institute of Physics Inc., pp. 1078-1084, 3rd International Conference on Mathematical Sciences, ICMS 2013, Kuala Lumpur, 17/12/13. https://doi.org/10.1063/1.4882618
Long WJ, Jaaman @ Sharman SH, Samsudin HB. Price returns efficiency of the Shanghai A-Shares. In AIP Conference Proceedings. Vol. 1602. American Institute of Physics Inc. 2014. p. 1078-1084 https://doi.org/10.1063/1.4882618
Long, Wang Jiang ; Jaaman @ Sharman, Saiful Hafizah ; Samsudin, Humaida Banu. / Price returns efficiency of the Shanghai A-Shares. AIP Conference Proceedings. Vol. 1602 American Institute of Physics Inc., 2014. pp. 1078-1084
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