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Badanie stabilności współczynnika beta akcji indeksu WIG20

100%
Letkowski D.
Studia Ekonomiczne
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2013
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vol. 174
75-87
EN
The aim of the article is to examine beta coefficient of WIG20's shares stability. Beta coefficient provides systematic risk measurement, so it's stability is a key factor for effective portfolio management based on beta coefficient. Research reveals beta coefficients high volatility throughout test period of 2001-2012, in particular under financial crisis conditions. Proposed beta coefficient stability ranking reflects combined results of different stability measures: standard deviation, coefficient of variation and mean absolute deviation. Stability ranking is a simple approach to gain some level of statistical objectivity. However, in general beta coefficients of WIG20's shares are highly volatile, what can affect investment portfolio risk and return management.
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Zastosowanie uogólnionego współczynnika Giniego do pomiaru ryzyka spółek wchodzących w skład indeksu WIG20

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Majewska E., Jankowski R.
Studia Ekonomiczne
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2013
|
vol. 163
59-71
EN
This paper presents the basic properties of the extended Gini coefficient as a risk measure. We define the measure of systematic risk (beta coefficient) and the correlation between securities based on the extended Gini coefficient. The presented issues we illustrate with empirical research conducted on the basis of selected shares quoted on the Warsaw Stock Exchange.
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