An Empirical Study on the Stability and Time Variation of Betas in Shenzhen Stock Market
This paper used CUSUMSQ statistics of recursive regression and Kalman filter analysis based on statespace models to identify the stability and time variation of betas in Shenzhen Stock Market respectively. The research results show that: (1) the betas of all industries are unstable and have timevariation; (2) in the three used models, the betas of ten out of thirteen industries are fitted best by mean-reverting model, and the betas of the other three industries are fitted best by random coefficient model, however, the random walk model is not suitable to fit the betas of any industry. The conclusions show the limitation of traditional CAPM and provide a good reference for the further studies of CAPM.
CAMP beta coefficient stability time variation
Chen Jianbao Wang Jingjie
Department of Planning and Statistics, School of Economics, Xiamen University (XMU), Xiamen 361005, Department of Planning and Statistics, of Economics, Xiamen University (XMU), Xiamen 361005, China
国际会议
重庆
英文
833-836
2009-12-25（万方平台首次上网日期，不代表论文的发表时间）