Research Article
Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
Table 3
Results of Censored-SS model.
| | Number | | | |
| | | Large corporations | | 1 | | 0.998446 | | | 2 | | 1.045616 | | | 3 | | 0.754530 | | | 4 | | 1.010184 | | | 5 | | 0.964994 | | | 6 | | 1.078617 | | | 7 | | 0.949563 | | | 8 | | 1.434350 | | | 9 | 0.000412 | 1.071771 | | | 10 | | 1.009653 | |
| | | Small corporations | | 1 | 0.000853 | 1.764856 | | | 2 | 0.000320 | 1.277261 | | | 3 | 0.001859 | 1.240980 | | | 4 | 0.002455 | 1.241941 | | | 5 | 0.000430 | 0.766067 | | | 6 | 0.001145 | 1.028433 | | | 7 | 0.000543 | 1.277040 | | | 8 | 0.000659 | 1.077382 | | | 9 | 0.000725 | 1.340762 | | | 10 | 0.000209 | 1.191594 | |
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