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

الملخص EN

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.