The Characteristics and Modeling Research of Realized Beta Coefficient of Chinese Stock Market

Realized betas of 404 stocks were measured by using the realized volatility in Shanghai stock market, and realized betas distributions were analyzed in different industries. The results suggest that realized betas of hi-tech industries were different from those of other industries. The performance of forecasting models were compared by the mean absolute forecasting error and the mean square forecasting error corresponding to market capitalization and industry. The results show that the forecasting abilities of models were better when the stock's market capitalization was higher and the models also worked well with the conservative industries.