An examination of CAPM based on data from Shenzhen Stock Exchange

With the development of academic exchange activities, the CAPM have been imported to China´s capital market and academic circles, which been popularly accepted in academic and practitioner circles all over the world. As you know, the CAPM model was developed on basis of the financial environments of developed nations. It is pending whether it applies to China capital market. So we test the three following assumptions based on the SEC industry classification portfolios data on Shenzhen Stock Exchange, which should support the assumptions if the model CAPM is effective. Finally we cannot come to a conclusion that the model is effective, and the conclusion is the same as that based on GICS industry classification portfolios data on Shanghai Stock Exchange.