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Empirical Analysis on Excess Return and Risk of Individual Stock in the Chinese Stock Market

Journal: Sumerianz Journal of Economics and Finance (Vol.3, No. 8)

Publication Date:

Authors : ; ; ; ;

Page : 119-132

Keywords : Abnormal return; Capital asset pricing model (CAPM); January effect; Risk premium.;

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This paper discusses the excess return, January effect and condition of risk premium of individual stock in Shenzhen and Shanghai stock markets, combined with size effect and status of industry sectors. The results indicate that 103 listed companies in China have significant excess return, including up to 45.45% of these listed companies belongs to the financial industry. The risk of financial industry, however, is larger than that of the market. The January effect also exists in the Chinese stock market, where up to 63% of companies have a higher excess return in January than in other months. In addition, the incidence of excess return in January is 15.80%, while in other months down to 6.58%. From the perspective of company scale, with a large company scale, the possibility of excess return in January is high. In other industry sectors, there exists relatively higher occurring of January excess return in hotel industry, food and beverage industry, transportation, warehousing and post services. This may be associated with the Chinese New Year Festival.

Last modified: 2020-11-04 17:31:13