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Journal

Comparative Economic Research. Central and Eastern Europe

2022 | 25 | 2 | 45-60

Article title

The Bayesian Method in Estimating Polish and German Industry Betas. A Comparative Analysis of the Risk between the Main Economic Sectors from 2001–2020

Authors

Ewa Feder‑Sempach , Piotr Szczepocki

Content

Full texts:
articles-2083054.pdf.pdf

Title variants

PL
Oszacowaniach polskich i niemieckich współczynników beta z użyciem metody bayesowskiej – porównanie dla głównych indeksów sektorowych w latach 2001–2020

Languages of publication

Abstracts

PL
Celem artykułu jest porównanie długookresowych zależności w poziomie branżowego ryzyka systematycznego, mierzonego współczynnikiem beta, na polskim i niemieckim rynku giełdowym. Poziom ryzyka został oszacowany dla pięciu sektorów polskich i trzech niemieckich na podstawie modelu CAPM z wykorzystaniem metody bayesowskiej w okresie 2001–2020. Cele szczegółowe artykułu to rozwinięcie i udoskonalenie nowego podejścia bayesowkiego (model SBETA) do szacowania poziomu ryzyka i porównanie wielkości współczynnika beta zmiennego w czasie na obu rynkach wraz z prostą rekomendacją inwestycyjną, tj. sektor agresywny lub defensywny. Wyniki wskazują, że współczynniki beta niemieckich sektorów miały niższy poziom persystencji, co jest charakterystyczne dla rynków rozwiniętych. Sektor bankowy okazał się najbardziej agresywny, najwyższy poziom bety, zarówno na polskim i niemieckim rynku giełdowym. Polskie indeksy sektorowe budownictwo, IT, artykuły spożywcze i telekomunikacja zostały zakwalifikowane do defensywnych. Niemieckie indeksy, Technologiczny (IT) został zakwalifikowany do agresywnych ale telekomunikacja do defensywnych. Na podstawie obliczeń wskazano, że polski sektor bankowy i niemiecki technologiczny przyniosły wyższe dochody niż cały rynek w analizowanym okresie. Wyniki mają bardzo duże znaczenie dla oceny poziomu ryzyka systematycznego na polskiej i niemieckiej giełdzie papierów wartościowych i dają jasne rekomendacje inwestorom międzynarodowym.
EN
This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and German beta parameters of five Polish and three German sector indices using the Bayesian methodology in the period 2001–2020. The study has two detailed aims. First, to develop a modified, Bayesian approach (SBETA model) that generates significantly more precise beta than the traditional model. Second, to compare the results of different time‑varying industry betas in the Polish and German economies, giving a simple investment recommendation, i.e., which sector could be classified as aggressive or defensive. The betas were time‑varying in both markets but less persistent in the German industries, which seems characteristic of an advanced economy. The Banking sector betas were the highest in both markets, implying the aggressive nature of that industry in the last twenty years. For the Polish market industry, the betas of Construction, IT, Food and Drinks, and Telecom were classified as defensive. For the German economy, the Technologies (IT) sector was also classified as aggressive, but Telecom was defensive. The results give a valuable insight into the systematic risk levels in Poland and Germany, reflecting the investors' learning process and indicating that Polish Banking and German technologies outperformed the market in the last twenty years.

Keywords

PL
EN

Publisher

Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego

Journal

Comparative Economic Research. Central and Eastern Europe

Year

2022

Volume

25

Issue

2

Pages

45-60

Physical description

Dates

published
2022

Contributors

author
Ewa Feder‑Sempach
  • Ph.D., University of Lodz, Faculty of Economics and Sociology, Department of International Finance and Investment, Lodz, Poland
author
Piotr Szczepocki
  • Ph.D., University of Lodz, Faculty of Economics and Sociology, Department of Statistical Methods, Lodz, Poland

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Document Type

Publication order reference

Identifiers

DOI
10.18778/1508-2008.25.12
Biblioteka Nauki
2083054

YADDA identifier

bwmeta1.element.ojs-doi-10_18778_1508-2008_25_12
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