DOI: 10.36347/sjebm.2020.v07i05.001

Pages: 165-169

Since the reform and opening up, China's insurance industry has developed rapidly. In 2016, China's original insurance premium income exceeded that of Japan, becoming the second largest insurance country in the world. As an important part of national economy, insurance plays an important role in social stability and development. Based on the CAPM model, this paper makes an empirical analysis of the insurance industry and discusses whether the CAPM model is applicable to the insurance industry in China. The empirical results show that the overall volatility of the insurance industry stock is higher than the market volatility, and there is a significant risk premium compared with the market. The conclusion of this paper can be used as a reference for the portfolio strategy of the insurance industry, but the goodness of fit in the test results based on CAPM model is not high enough, which shows that the test process and the setting of the model are not perfect.