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Asymmetric Responses of CAPM - Beta to the Bull and Bear Markets on the Bucharest Stock Exchange

Răzvan Ştefănescu, Costel Nistor () and Ramona Dumitriu ()
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Răzvan Ştefănescu: “Dunărea de Jos” University of Galaţi, Romania

Annals of the University of Petrosani, Economics, 2009, vol. 9, issue 4, 257-262

Abstract: The CAPM - beta is one of the most used tools to estimate the systematic risks associated to stock. In the last decades different behaviours of beta were revealed for the circumstances of the bull and the bear markets. This paper analyses the CAPM – beta responses for bad and good news for ten representative stocks from the Bucharest Stock Exchange. We identify the bull, the bear and the tranquil markets using a univariate kernal density function and we calculate for each stage the single and the multifactor CAPM betas. We conclude that for most of the stocks CAPM betas are the largest in the bear conditions and they are the least in the bull markets conditions.

Keywords: CAPM - betas; Bucharest Stock Exchange; Bull and Bear Markets; Systematic Risk; Kernal Estimation (search for similar items in EconPapers)
Date: 2009
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