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- W2381332014 abstract "In this paper,time-varying betas of industry indices in Shenzhen stock market over the period July 2~(nd) 2001 to July 15~(th) 2005 are estimated by using the dynamic conditional correlation multivariate GARCH(DCC-MVGARCH) proposed by Engle(2002),and then the risk-return relations are examined by using traditional approach and conditional approach proposed by Pettengill et al.(1995).In the same time,whether unsystematic risk or total risk is priced in Shenzhen stock market or not is tested.The findings suggest that there is no evidence of a significant positive risk premium on betas when the traditional unconditional relation between beta and return is considered.And there is a significant conditional relation between beta and return for some industry indices,namely a significant positive(negative) relation between beta and return when the market excess return is positive(negative).But only in the down market(the market excess return is negative) is the negative relation between beta and return significant.Also our results indicate that unsystematic risk as well as total risk is priced in Shenzhen stock market and investors diversify their investment only to a limited extent not fully,and the institutional investors should be greatly developed to make the stock market developing well." @default.
- W2381332014 created "2016-06-24" @default.
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- W2381332014 date "2007-01-01" @default.
- W2381332014 modified "2023-10-14" @default.
- W2381332014 title "Empirical Research on Time-varying Betas and Conditional CAPM of Shenzhen Stock Market" @default.
- W2381332014 hasPublicationYear "2007" @default.
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