Time Varying Betas of Five Sectors in Shanghai Stock Exchange

摘要

This paper employs the GARCH (1.1) model to formulates the time varying betas of the Commercial, Industry, Real Estate, Utilities and Conglomerate sectors in Shanghai Stock Exchange from the 3rd June 1993 to the 21st Oct. 2010. The main purpose of this paper is to estimate time varying beta of these sectors and observe their trends, stabilities, character and relationship between each other. The result represents that the average value of time varying beta of the five sectors are less than one but the Conglomerate sector contains negative value. Theoretically, positive beta illustrates a positive relationship between asset's return and its portfolio, negative beta shows negative one. However, results of this paper supports that the time varying beta increases as the uncertainty of the market return increase. In all of the sectors, the time varying beta of the Real Estate sector is more brisk than others and the Industry sector has the lowest value of time varying beta. Apart from the Conglomerate sector, the values of skewness and Jarque-Bera test represent that distributions of these time varying betas shift to right, and the normal distribution hypothesis is rejected.