Bigdata Analysis of the Validity of Capital Asset Pricing Model (CAPM) Under COVID-19
DOI:
https://doi.org/10.54691/bcpbm.v26i.2007Keywords:
CAPM; Bigdata analysis; COVID-19.Abstract
In 2020, the Chinese stock market has undergone severe turmoil as the COVID-19 swept the world. On this basis, the traditional CAPM model might be unable to explain some of the phenomena in the capital market and there are few empirical studies have focused on exploring relationships between the epidemic and validity of CAPM model. With this in mind, this study aims to investigates the degree to which the COVID-19 impacted on the validity of the CAPM model in different industries. Specifically, this paper selects the monthly closing price data of stocks of 15 listed companies in cyclical and defensive industry in Chinese stock market from January 2018 to December 2021. Based on the least square method and big data techniques, we analyze sample data and construct a regression equation between market return and the daily return of individual stocks or portfolios. According to the analysis, the effectiveness of the CAPM model for enterprises in different industries varies greatly, and the combination of investment can effectively resist risks. These results shed light on quantitative assets pricing model implementation for special issues similar to COVID-19.
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