Along with the rapid progress of China’s securities market, the applicability of market efficiency and Asset pricing methods has become more and more prominent, and needs to be empirically analyzed and adapted with the characteristics of China’s securities market. Our research explores the application of Asset pricing methods under the market efficient theory in the China’s securities market. Through empirical analysis of 51 stocks in SSE, an adjusted CAPM method adapted to the characteristics of the Chinese market is constructed, and the validity of the SSE Composite Index is tested. The results show that there is a positive association between risk and return in the China’s securities market, but the explanatory effectiveness of systematic risk on the expected stock return is weak, with an R² value of only 0.0737, indicating that systematic risk only accounts for about 7% of the total risk. The market portfolio has the highest monthly average return in 2018 (8.6125‰), while the market portfolio has the lowest monthly average return in 2016 (- 0.9845‰). The study concludes that improving China’s securities market efficiency requires improving the information disclosure system, fostering institutional investors, and solving the problem of listed companies’ shareholding structure, which enhances the applicability of the CAPM method in China’s securities market.
