SHS Web Conf.
Volume 181, 20242023 International Conference on Digital Economy and Business Administration (ICDEBA 2023)
|Number of page(s)
|Financial Analysis and Stock Market Strategies
|17 January 2024
Big data analysis of the effectiveness for capital asset pricing model under COVID-19
1 Department of Finance, Wuhan Donghu University, 430212 Wuhan, China
2 Department of Economy, Zhongnan University of Economics and laws, 430073 Changsha, China
3 Department of Finance, Hebei University of Technology, 300000 Tianjin, China
* Corresponding author: email@example.com
† These authors contributed equally.
In 2020, the novel coronavirus outbreak in China and rapidly spread around the world, causing a great impact on the economies of all countries, but also brought great uncertainty to the global financial market. The epidemic may not only trigger a crisis of supply, investment and supply chain disruption, but also further spread to the financial market, exacerbating systemic risks in the financial market and having a certain impact on the pricing of various types of assets. On this basis, this study conducts an empirical study on stock pricing under the influence of COVID-19 based on capital asset pricing model model to explore its effectiveness. To be specific, this paper selected two representative stocks from five different industries, namely medical care, catering, agriculture, tourism, and automobile, and used their returns from 2015 to 2019 for regression analysis, so as to predict the returns during the epidemic period and judge the effectiveness of the capm model during the epidemic period. These results shed light on guiding further exploration of assets pricing model.
© The Authors, published by EDP Sciences, 2024
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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