Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market

نویسندگان

  • Rongquan Bai
  • Zuoquan Zhang
  • Menggang Li
چکیده

This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conclusions in China stock market.

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عنوان ژورنال:
  • J. Applied Mathematics

دوره 2013  شماره 

صفحات  -

تاریخ انتشار 2013