Realized Range-based Beta and Its Application in Chinese Stock Market
In recent years,research on high frequency data has been a new research field in financial econometrics. In this paper,we put forward realized range-based beta to estimate the beta by using high-frequency data. By using high-frequency data,we can fully take advantage of the intraday information of the stock market. We cast our analysis of realized range-based beta within the framework of realized range-based variance and realized range-based covariance. Realized range-based variance and realized rangebased covariance are unbiased estimators of variance and covariance. Our approach makes the beta observable and model-free. Our empirical analysis is based on high frequency data from the Chinese stock market—Shenzhen stock market. We further explore the dynamic nature of realized range-based beta. Through the empirical analysis,we indicate that realized range-based beta of the stock listed in Shenzhen stock market is time-varying and persistent.
realized range-based variance realized range-based covariance realized range-based beta long memory
Guo Ming-yuan
School of Management,Tianjin University,Tianjin 300072,P.R.China
国际会议
北京
英文
204-207
2009-10-21（万方平台首次上网日期，不代表论文的发表时间）