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

Efekt przedziałowy współczynnika determinacji modelu rynku

Selected contents from this journal
Title variants
Intervalling Effect on Coefficient of Determination of Market Model
Languages of publication
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.
Physical description
  • Altman E.I., Jacquillat B., Levasseur M. 1974 Comparative Analysis of Risk Measures: France and the United States, „Journal of Finance”, 29(5).
  • Bekaert G., Harvey C.R., Lundblad C. 2007 Liquidity and Expected Returns: Lessons from Emerging Markets, „Review of Financial Studies”, 20(6).
  • Blume M. 1971 On the Assessment of Risk , „Journal of Finance”, 26(1).
  • Brzeszczy ński J., Gajdka J., Schabek T. 2011 The Role of Stock Size and Trading Intensity in the Magnitude of the „Interval Effect” in Beta Estimation: Empirical Evidence from the Polish Capital Market, „Emerging Markets Finance & Trade”, 47(1).
  • Campbell J.Y., Lo A.W., MacKinlay A.C. 1997 The Econometrics of Financial Markets, Princeton University Press, New Jersey.
  • Cochrane D., Orcutt G.H. 1949 Application of Least Squares Regressions to Relationship Containing Autocorrelated Error Terms, „Journal of the American Statistical Association”, 44.
  • Cohen K.J., Hawawini G.A., Maier S.F., Schwartz R.A., Whitcomb D.K. 1980 Implications of Microstructure Theory for Empirical Research on Stock Price Behaviour, „Journal of Fi-nance”, 35.
  • Fisher L. 1966 Some New Stock Market Indexes, „Journal of Business”, 39. Fowler D.J., Rorke C.H., Jog V.M. 1979 Heteroscedasticity, R2 and Thin Trading on the Toronto Stock Exchange, „Journal of Finance”, 34(5).
  • Hawawini G.A. 1980 The Intertemporal Cross Dependence in Securities Daily Returns and the Short Run Intervaling Effect on Systematic Risk, „Journal of Financial and Quantitative Analysis”, 15.
  • Lee C.F., Morimune K. 1978 Time Aggregation, Coefficient of Determination and Systematic Risk of the Market Model, „Financial Review”, 13(1).
  • Luszniewicz A., Słaby T. 2008 Statystyka z pakietem komputerowym STATISTICA PL, Wydawnictwo C.H. Beck, Warszawa.
  • Newey W.K., West K.D. 1987 A Simple, Positive Semi-Define, Heteroskesticity and Autocorrelation Consistent Covariance Matrix, „Econometrica”, 55(3).
  • Olbryś J. 2011 Tarcie w procesach transakcyjnych i jego konsekwencje, „Inwestycje finansowe i ubezpieczenia. Tendencje światowe a rynek polski”, Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 254, Wrocław.
  • Olbryś J. 2014 Wycena aktywów kapita łowych na rynku z zakłóceniami w procesach transakcyjnych, Wydawnictwo Difin SA, Warszawa.
  • Pogue G.A., Solnik B.H. 1974 The Market Model Applied to European Common Stocks: Some Empirical Results, „Journal of Financial and Quantitative Analysis”, 9. Roll R. 1988 R2, ,,Journal of Finance”, 43(2).
  • Schwartz R., Whitcomb D. 1977a The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns, „Journal of Finance”, March.
  • Schwartz R., Whitcomb D. 1977b Evidence of the Presence and Causes of Serial Correlation in Market Model Residuals, „Journal of Financial and Qu antitative Analysis”, 12(2).
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.