Ryzyko systematyczne akcji spółek zagranicznych notowanych na GPW w Warszawie

• Authors: Ewa Feder-Sempach

Title variants

EN

Systematic Risk of Dual Listed Stocks from Warsaw Stock Exchange

• Languages of publication: PL

Abstracts

EN

This paper examines Systematic Risk of Dual Listed Stocks on Warsaw Stock Exchange. With rapid globalization of capital markets and economic integration in last years, more and more stocks are listed on more than one stock exchange which is called dual listing. The main objective of this paper is to analyze systematic risk of international stocks listed on WSE in period 2008-2013. Beta coefficients were defined by Sharpe one-index model. International stocks listed on Warsaw Stock Exchange were divided in two groups: aggressive stocks and defensive stocks (Non-Cyclical Stocks). The results of the study showed that 7 of 11 were classified as defensive and 4 as aggressive. Defensive stocks remain stable during the various phases of the business cycle, however, during an expansion it performs below the market. Betas of defensive stocks are less than one. Aggressive Stocks generate returns that vary by a larger proportion than overall market returns, their beta exceeds one. This paper contains three parts with introduction and conclusions.

Keywords

PL

Analiza ryzyka; Giełda papierów wartościowych; Kapitał zagraniczny; Ryzyko systemowe; Spółki giełdowe

EN

Foreign capital; Risk analysis; Stock market; Stock market companies; Systemic risk

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 186 cz 2
• Pages: 177-187

Contributors

author

Ewa Feder-Sempach

References

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Identifiers

ISSN

2083-8611