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

Rongquan Bai, Zuoquan Zhang and Menggang Li

Journal of Applied Mathematics, 2013, vol. 2013, 1-8

Abstract:

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:682159

DOI: 10.1155/2013/682159

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