An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market
The capital asset pricing model (CAPM) is a foundational asset pricing model that is widely applied and holds particular significance in the globally influential Chinese stock market. This study focuses on the banking sector, enhancing the performance of the CAPM and further assessing its applicabil...
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| Language: | English |
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MDPI AG
2024-12-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/13/1/41 |
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| author | Bohan Zhao Hong Yin Yonghong Long |
| author_facet | Bohan Zhao Hong Yin Yonghong Long |
| author_sort | Bohan Zhao |
| collection | DOAJ |
| description | The capital asset pricing model (CAPM) is a foundational asset pricing model that is widely applied and holds particular significance in the globally influential Chinese stock market. This study focuses on the banking sector, enhancing the performance of the CAPM and further assessing its applicability within the Chinese stock market context. This study incorporates a heterogeneous autoregressive (HAR) component into the CAPM framework, developing a CAPM-HAR model with time-varying beta coefficients. Empirical analysis based on high-frequency data demonstrates that the CAPM-HAR model not only enhances the capability of capturing market fluctuations but also significantly improves its applicability and predictive accuracy for stocks in the Chinese banking sector. |
| format | Article |
| id | doaj-art-f32d7475b4a240ebb8a75b29461d607c |
| institution | Kabale University |
| issn | 2227-7390 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj-art-f32d7475b4a240ebb8a75b29461d607c2025-01-10T13:18:04ZengMDPI AGMathematics2227-73902024-12-011314110.3390/math13010041An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock MarketBohan Zhao0Hong Yin1Yonghong Long2School of Mathematics, Renmin University of China, Beijing 100872, ChinaSchool of Mathematics, Renmin University of China, Beijing 100872, ChinaSchool of Mathematics, Renmin University of China, Beijing 100872, ChinaThe capital asset pricing model (CAPM) is a foundational asset pricing model that is widely applied and holds particular significance in the globally influential Chinese stock market. This study focuses on the banking sector, enhancing the performance of the CAPM and further assessing its applicability within the Chinese stock market context. This study incorporates a heterogeneous autoregressive (HAR) component into the CAPM framework, developing a CAPM-HAR model with time-varying beta coefficients. Empirical analysis based on high-frequency data demonstrates that the CAPM-HAR model not only enhances the capability of capturing market fluctuations but also significantly improves its applicability and predictive accuracy for stocks in the Chinese banking sector.https://www.mdpi.com/2227-7390/13/1/41capital asset pricing modelheterogeneous autoregressive modelrealized correlationrealized volatilityintraday high frequency dataChinese stock market |
| spellingShingle | Bohan Zhao Hong Yin Yonghong Long An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market Mathematics capital asset pricing model heterogeneous autoregressive model realized correlation realized volatility intraday high frequency data Chinese stock market |
| title | An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market |
| title_full | An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market |
| title_fullStr | An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market |
| title_full_unstemmed | An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market |
| title_short | An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market |
| title_sort | advanced time varying capital asset pricing model via heterogeneous autoregressive framework evidence from the chinese stock market |
| topic | capital asset pricing model heterogeneous autoregressive model realized correlation realized volatility intraday high frequency data Chinese stock market |
| url | https://www.mdpi.com/2227-7390/13/1/41 |
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