Are Beta Parameters Stable on the Warsaw Stock Exchange?

• Autorzy: Wiesław Dębski , Ewa Feder-Sempach , Bartosz Świderski
• Języki publikacji: EN

Abstrakty

EN

Beta parameter is one of the commonly used measurements of individual stock or portfolio investment risk and plays a crucial role in modern portfolio theory particularly in management of financial investment portfolios. Many studies have been done in this field, particularly on its properties such as stability in the context of the stock market cycle phases, measuring frequency of rate of return, length of sample period. However, the number of studies concerning beta parameter in the counties of Central and Eastern Europe that have undergone systemic transformation at the end of the previous century is much lower. Therefore we decided to study the changes of behavior of the beta parameter in those countries. The main aim of this article is to examine the beta parameter stability over bull and bear market conditions on the Warsaw Stock Exchange. The paper presents an analysis of betas stability for 134 stocks of the largest companies listed at the WSE during years 2005-2013.(original abstract)

Słowa kluczowe

EN

Stock exchange; Warsaw Stock Exchange Index

PL

Giełda; Warszawski Indeks Giełdowy (WIG)

• Czasopismo: Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace / Szkoła Główna Handlowa
• Rocznik: 2015
• Numer: nr 3, t. 3 Rynek kapitałowy
• Strony: 65--74

Twórcy

autor

Wiesław Dębski

• Wyższa Szkoła Finansów i Zarządzania w Warszawie

autor

Ewa Feder-Sempach

• Uniwersytet Łódzki

autor

Bartosz Świderski

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

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Identyfikatory

DOI

https://doi.org/10.33119/KKESSiP.2015.3.3.5