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2014 | 2(68) | 75-84
Article title

Efekt przedziałowy współczynnika determinacji modelu rynku

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Selected contents from this journal
Title variants
EN
Intervalling Effect on Coefficient of Determination of Market Model
Languages of publication
PL
Abstracts
EN
According to the literature, some empirical phenomena can be attributed to frictions in trading processes. One of them is the impact of the return interval on the coefficient of determination of a market model, which is known as the intervalling effect in R-squared. In this paper, the author tests the hypothesis that the values of a market model R-squared for stocks differ significantly in the Warsaw Stock Exchange when various return intervals are used. The period investigated is from Jan 2007 to Dec 2012. The empirical results confirm that there is no reason to reject the research hypothesis that the so-called R-squared interval effect is present in the WSE.
Year
Issue
Pages
75-84
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-5d51b8d0-b63c-4caf-baea-f3757727e4e5
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