Analysis of Chinese and American Banking Stocks Based on CAPM Model

Pengfei Sun, Yuhui Wang and Yumu Wang ()
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Pengfei Sun: Donghua University, College of Science
Yuhui Wang: The University of Sheffield, Management School
Yumu Wang: The University of Manchester, School of Social Science

A chapter in Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022), 2023, pp 578-586 from Springer

Abstract: Abstract With the increased globalization of the economy, the effectiveness of the CAPM model as applied to different economies merits further study. At the same time, with the increased use of the CAPM model in various international financial markets, it is also important to analyze the differences between the financial markets of developing and developed countries based on a fundamental financial theory such as the CAPM model. Based on the CAPM model, this paper randomly selects 20 stocks of each bank of China and the United States to calculate the risk coefficient beta and gives a comparison and analysis of the two according to the obtained data indicators, to understand the two markets. The results firstly show that both Chinese and US bank stocks fit the CAPM model. Secondly, the individual indices of US bank stocks are volatile compared to the stable and balanced data performance in China, implying that freer markets should have more possibilities for more intense financial market volatility. This paper provides evidence for the effectiveness of the CAPM in testing different financial markets. It also provides theoretical and data support for the comparison of differences across financial markets based on the CAPM model.

Keywords: CAPM; Chinese; American; Bank stocks (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-054-1_63

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DOI: 10.2991/978-94-6463-054-1_63

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