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

Rongquan Bai | Zendy; Zuoquan Zhang | Zendy; Menggang Li | Zendy

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

Author(s) -

Rongquan Bai,

Zuoquan Zhang,

Menggang Li

Publication year - 2013

Publication title -

journal of applied mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.307

H-Index - 43

eISSN - 1687-0042

pISSN - 1110-757X

DOI - 10.1155/2013/682159

Subject(s) - stock market , china , econometrics , beta (programming language) , economics , market depth , stock (firearms) , financial economics , computer science , programming language , mechanical engineering , paleontology , horse , political science , law , biology , engineering

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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