Notice of RetractionBayesian dynamic linear model on time-varying CAPM with panel data methods

Abstract

Dynamic and time-varying of Beta in capital asset pricing model is analysis using Bayesian dynamic linear model and panel data methods. The variance matrix of both measure equation and state equation were considered as unknown and markov chain monte carlo and gibbs sampling technology were used to simulate and estimate. The results estimated with smooth filter indicated that volatility of commercial banks' stock prices was lower than those of non-commercial bank financial institutes. The value of time-varying beta is positive in up market and negative in downside market in most of periods with zero mean value.