Forecasting correlation coefficients on the Polish capital market with the application of beta coefficients

• Autorzy: Piotr Czapiewski
• Języki publikacji: EN

Abstrakty

EN

In the article the author analyses the methods of forecasting correlation coefficients between rates of share returns quoted on the Polish capital market. The analysed methods include the assumption of historical values of correlation coefficients as the forecast, the values resulting from the single-factor model based on betas, as well as, modifying methods before the estimation of correlation coefficients. From among the methods modifying betas the author analyses the Blume technique and the Vasicek technique. The author examines their effectiveness in forecasting correlation between securities quoted on the Warsaw Stock Exchange, making use of data from the end of August 1999 to the end of August 2007. The methods are assessed on the basis of estimation errors of individual values of correlation coefficients and parameters of the portfolio constructed on the basis of the created forecasts. (original abstract)

Słowa kluczowe

EN

Capital market; Stock rate of returns; Forecasting the return rate of shares; Correlation

PL

Rynek kapitałowy; Stopa zwrotu akcji; Prognozowanie stóp zysku akcji; Korelacja

• Czasopismo: Journal of Management and Financial Sciences
• Rocznik: 2008
• Tom: 1
• Numer: nr 1
• Strony: 55--69

Twórcy

autor

Piotr Czapiewski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

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