Journal of Applied Mathematics
Volume 2013 (2013), Article ID 682159, 8 pages
http://dx.doi.org/10.1155/2013/682159
Research Article

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

Rongquan Bai,1 Zuoquan Zhang,1 and Menggang Li2

1School of Science, Beijing Jiaotong University, Beijing 100044, China
2China Center for Industrial Security Research, Beijing 100044, China

Received 6 December 2012; Accepted 16 June 2013

Academic Editor: Rung Ching Chen

Copyright © 2013 Rongquan Bai et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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.