An Estimation Method of Time-Varying Beta in Price Limiting Mechanism

Rong Quan Bai; Meng Gang Li; Zuo Quan Zhang

doi:10.4028/www.scientific.net/AMR.734-737.3302

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 734-737An Estimation Method of Time-Varying Beta in Price...

An Estimation Method of Time-Varying Beta in Price Limiting Mechanism

Abstract:

This paper introduces the censored effect on return in price limiting mechanism. And it establishes a censored-SS market model. The paper uses Chinas stock market trading data to estimate time-varying beta and does an empirical research. Finally by comparing the prediction errors of market model, SS market model and censored-SS market model it verifies the effectiveness of censored-SS market model. Moreover, it will lead to an underestimation of systemic risk when considering the time-varying characteristics but ignoring the factor of price limiting mechanism.

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Periodical:

Advanced Materials Research (Volumes 734-737)

Pages:

3302-3307

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.734-737.3302

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Online since:

August 2013

Authors:

Rong Quan Bai*, Meng Gang Li, Zuo Quan Zhang

Keywords:

CAPM, Censored-SS Model, Price Limiting Mechanism, Time-Varying Beta

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* - Corresponding Author

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