Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
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, i...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/682159 |
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| _version_ | 1832565198336032768 |
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| author | Rongquan Bai Zuoquan Zhang Menggang Li |
| author_facet | Rongquan Bai Zuoquan Zhang Menggang Li |
| author_sort | Rongquan Bai |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-c164aabebe064a9987b88b3702bb71c1 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-c164aabebe064a9987b88b3702bb71c12025-02-03T01:08:59ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/682159682159Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock MarketRongquan Bai0Zuoquan Zhang1Menggang Li2School of Science, Beijing Jiaotong University, Beijing 100044, ChinaSchool of Science, Beijing Jiaotong University, Beijing 100044, ChinaChina Center for Industrial Security Research, Beijing 100044, ChinaThis 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.http://dx.doi.org/10.1155/2013/682159 |
| spellingShingle | Rongquan Bai Zuoquan Zhang Menggang Li Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market Journal of Applied Mathematics |
| title | Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market |
| title_full | Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market |
| title_fullStr | Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market |
| title_full_unstemmed | Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market |
| title_short | Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market |
| title_sort | estimating time varying beta of price limits and its applications in china stock market |
| url | http://dx.doi.org/10.1155/2013/682159 |
| work_keys_str_mv | AT rongquanbai estimatingtimevaryingbetaofpricelimitsanditsapplicationsinchinastockmarket AT zuoquanzhang estimatingtimevaryingbetaofpricelimitsanditsapplicationsinchinastockmarket AT menggangli estimatingtimevaryingbetaofpricelimitsanditsapplicationsinchinastockmarket |