Testing the Applicability of the CAPM Model in the Gold Market

Haitao Lin

doi:10.47297/wspceWSP2516-251905.20250906

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Testing the Applicability of the CAPM Model in the Gold Market

Volume 9, Issue 6

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Testing the Applicability of the CAPM Model in the Gold Market
Testing the Applicability of the CAPM Model in the Gold Market
Southwestern University of Finance and Economics, Chengdu, Sichuan, 611130, China
Vol. 9, Issue 6, Pages: 27-32(2025)
Published：30 December 2025
DOI：10.47297/wspceWSP2516-251905.20250906
Accepted：

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Lin Haitao.Testing the Applicability of the CAPM Model in the Gold Market[J].Creative Economy,2025,09(06):27-32.
DOI：

Lin Haitao.Testing the Applicability of the CAPM Model in the Gold Market[J].Creative Economy,2025,09(06):27-32. DOI： 10.47297/wspceWSP2516-251905.20250906.

摘要

Abstract

This paper explores the application of the Capital Asset Pricing Model (CAPM) in gold pricing based on gold's dual attributes of "consumption-finance" and its triple attributes as a commodity

currency

and investment hedge. Data from the Shanghai Gold Exchange Au99.99

the Shanghai Composite Index

and China's 10-year government bond yield were selected from 2022 to 2024. After processing

the β coefficient of CAPM was estimated using the covariance-variance method and linear regression method

with data preprocessing conducted. Empirical results show that the goodness of fit of CAPM is extremely low (R² only 0.0002)

failing to effectively explain gold yields. This is because the model focuses solely on market systemic risk

while gold is influenced by multiple factors such as geopolitics and inflation. Therefore

it is necessary to incorporate macro factors to expand CAPM by integrating gold's attributes

thereby constructing a more suitable gold pricing model.

关键词

Keywords

references

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