Long Memory Analysis of Realized Beta and Its Application in Chinese Stock Market

摘要：

A large literature reveals that betas are in fact time-varying. In this paper, we estimate realized beta which is time-varying by using high-frequency data. By using high-frequency data, we can fully take advantage of the intraday information of the stock market. In addition, we cast our long memory analysis of realized beta by using modified R/S analysis. Our empirical analysis is based on high frequency data from the Chinese stock market-Shenzhen stock market. Through the empirical analysis, We indicate that realized beta of the stock listed in Shenzhen stock market is time-varying and persistent.

关键词： realized beta long memory modified R/S analysis

作者: GUO Mingyuan ZHAN Xueli

作者单位: School of Management,Tianjin University,P.R.China,300072 School of Economics,Beijing Wuzi University,P.R.China,101149

会议类型: 国际会议

会议名称: The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 557-561

在线出版日期: 2008-05-18（万方平台首次上网日期，不代表论文的发表时间）