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2012 | 12 | 2 | 90-102
Article title

Beta Coefficients of Polish Blue Chip Companies in the Period Of 2005–2011

Title variants
Languages of publication
EN
Abstracts
EN
Risk plays a significant role in various aspects of financial decision throughout the world financial markets. Beta parameter is one of the commonly used coefficient to estimate the systematic risk associated with stocks. Beta is mostly calculated using single index market model by W. Sharpe. This study examined the beta parameter under bull and bear market conditions on the Warsaw Stock Exchange (WSE). This paper analyses the beta responses for bad and good news for 44 stocks (14 stocks from the WIG20 index and 30 stocks from the mWIG40 index) over the last six years of trading at the WSE. Beta was calculated using monthly returns over the period 2005-2011, separately for the bull and the bear market. Our analysis finds strong evidence that beta is different in bull and bear market phase.
Publisher
Year
Volume
12
Issue
2
Pages
90-102
Physical description
Dates
published
2012-12-01
online
2013-07-30
Contributors
  • University of Finance and Management in Warsaw Pawia 55, 01-030 Warszawa, Poland, wdebski@vizja.pl
  • University of Lodz Faculty of Economics and Sociology POW 3/5, 90-255 Łódź, Poland, ewafeder@wp.pl
References
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  • Chong, T., Li, Z., Chen, H. & Hinich M. (2010). An investigation of duration dependence in the American stock market cycle. Journal of Applied Statistics, 1408.[WoS]
  • Cwynar, W. (2008). Personalizacja w pomiarze ryzyka rynkowego. e-Finanse, finansowy kwartalnik internetowy nr 3, 1-10.
  • Fabozzi, F. & Francis, J. (1977). Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. The Journal of Finance, 1093-1099.
  • Kim, M. & Zumwalt, K. (1979). An Analysis of Risk In Bull and Bear Markets. Journal ofFinancial and Quantitative Analysis, 1015-1025.
  • Levy, R. (1974). Beta Coefficients as Predictors of Return. Financial Analysts Journal, 61-69.
  • Sharpe, W. (1964). Capital Asset Prices: a theory of market equilibrium under conditions of risk. Journal of Finance, Vol. XIX, 425-442.
  • Stefanescu, R., Nistor, C. & Dumitriu, R. (2009). Asymmetric Responses of CAPM - Beta tothe Bull and Bear Markets on the Bucharest Stock Exchange. Annals of the University of Petrosani, 257-262.
  • Tarczyński, W. (2009). O pewnym sposobie wyznaczania współczynnika beta na polskim rynku kapitałowym. Zeszyty Naukowe Uniwersytetu Szczecińskiego nr 561, Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania, 199-214.
  • Witkowska, D. (2008). Badanie stabilności współczynnika beta oszacowanego na podstawie prób o różnej długości. Rynek kapitałowy skuteczne inwestowanie. Studia i praceWydziału Nauk Ekonomicznych i Zarządzania nr 9, Uniwersytet Szczeciński.
  • Woodward, G. & Anderson, H. (2009). Does beta react to market conditions? Estimates of “bull” and “bear” betas using a nonlinear market model with an endogenous threshold parameter. Quantitative Finance, Vol. 9, No. 8, 913-924.[WoS]
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.doi-10_2478_v10031-012-0025-6
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