Risk Measurement of Stocks in China’s Stock Market: A Time Varying CAPM Approach
This paper empirically measures the performance of twenty individual stocks listed on SSE A share. These stocks are selected from ten stock sectors (finance, real estate, construction, black metal, catering, beverage, information, communication equipment, transportation equipment and logistic sectors). We apply closing price of each stock, Shanghai Composite Index and China’s T bills from 2013 to 2017 by using a time varying CAPM approach to create the CAPM beta which shows the risk level of each stock. Via the empirical analysis, we are able to capture the performance of each stock and the result of CAPM betas provides a lot of information on stock investment. It has a great reference value for the stock investors.
Keywords - Capital Asset Pricing Model; Time Varying Beta; Risk Measurement; Shanghai Stock Exchange; A Share.