Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
Joint Authors
Zhang, Zuoquan
Bai, Rongquan
Li, Menggang
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-07-09
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract 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.
American Psychological Association (APA)
Bai, Rongquan& Zhang, Zuoquan& Li, Menggang. 2013. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-490140
Modern Language Association (MLA)
Bai, Rongquan…[et al.]. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market. Journal of Applied Mathematics No. 2013 (2013), pp.1-8.
https://search.emarefa.net/detail/BIM-490140
American Medical Association (AMA)
Bai, Rongquan& Zhang, Zuoquan& Li, Menggang. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-490140
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-490140
