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

Author

Listed:
  • Rongquan Bai
  • Zuoquan Zhang
  • Menggang Li

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.

Suggested Citation

  • Rongquan Bai & Zuoquan Zhang & Menggang Li, 2013. "Estimating Time‐Varying Beta of Price Limits and Its Applications in China Stock Market," Journal of Applied Mathematics, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnljam:v:2013:y:2013:i:1:n:682159
    DOI: 10.1155/2013/682159
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    References listed on IDEAS

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