Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE

Wiesław Dębski, Feder-Sempach Ewa () and Świderski Bartosz ()
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Feder-Sempach Ewa: University of Lodz, Faculty of Economics and Sociology, POW 3/5, 90-255 Lódź, Poland
Świderski Bartosz: Warsaw University of Life Sciences, Nowoursynowska 166, 02-787 Warszawa, Poland

Folia Oeconomica Stetinensia, 2014, vol. 14, issue 2, 270-286

Abstract: In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe’s model.

Keywords: beta parameter; intervalling effect; largest companies on Warsaw Stock Exchange (search for similar items in EconPapers)
JEL-codes: G01 G11 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:14:y:2014:i:2:p:270-286:n:18

DOI: 10.1515/foli-2015-0018

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