Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange

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 Str., 90-255 Lodz, Poland
Świderski Bartosz: Warsaw University of Life Sciences, Nowoursynowska 159 Str., 02-776 Warsaw, Poland

Folia Oeconomica Stetinensia, 2016, vol. 16, issue 1, 75-92

Abstract: Beta parameter is one of the commonly used measures of the investment risk of individual stock or portfolio. It plays a crucial role in modern portfolio theory particularly in management of financial investment portfolios. In the field of beta parameter, numerous studies have been conducted, especially beta properties stability in the context of the stock market cycle phases, measuring frequency of rate of return, and the length of a sample period. There are much fewer studies concerned beta parameter in the countries of Central and Eastern Europe which have undergone systemic transformation at the end of the previous century. From a scientific point of view, it is interesting to know how the beta parameter behaves in these countries.The main goal of this article is to examine the beta parameter stability over bull and bear market conditions on the Warsaw Stock Exchange. The paper presents an analysis of beta stability for 134 stocks of the largest companies listed at the WSE during years 2005–2013. To verify statistically the hypothesis of beta parameter stability, we used monthly returns in the Sharpe’s single-index model. In the first part of the article, we present a brief review of the literature and methodology of the study, while in the second part, the obtained results and conclusions are shown.

Keywords: beta parameter; Sharpe’s single–index model; bull and bear market; stability of beta; Warsaw Stock Exchange (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:16:y:2016:i:1:p:75-92:n:6

DOI: 10.1515/foli-2016-0006

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