Algorithmic Trading and Efficiency of the Stock Market in Poland

Jóźwicki, Rafał; Trippner, Paweł; Kłos, Karolina

doi:10.18778/2391-6478.2.30.05

Cited by 2 publications

(2 citation statements)

References 6 publications

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“…That is, an unpredictable event that causes panic on global financial markets. It created incentives to verify the dependencies at work on capital markets (Wiśniewska--Kuźma 2020, Ruiz Estrada, Koutronas & Lee 2021, Jóźwicki, Trippner & Kłos 2021). Discovering the influence of the β interval effect presented in this article is one such dependency to be verified.…”

Section: Discussionmentioning

confidence: 86%

“…Increased volatility in capital markets creates new motives for researchers that can be used to discover new dependencies. Researchers may also undertake to quantify the occurrence of ones observed in other pandemic circumstances (Wiśniewska--Kuźma 2020, Ruiz Estrada, Koutronas & Lee 2021, Jóźwicki, Trippner & Kłos 2021. The realities observed since the first quarter of 2020 -a screeching global economic slowdown and increased uncertainty about the future (Zhang, Hu & Ji 2020) -may prompt questions about numerous previous market dependencies.…”

Section: Introduction *mentioning

confidence: 99%

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Differentiation of Beta Coefficients during COVID-19 Pandemic – the Example of Stocks of the Largest Companies Listed on the Warsaw Stock Exchange

Lisicki¹

2023

KREM

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Findings:The values of the β coefficients, calculated for different time horizons of returns (daily, weekly, biweekly and monthly) showed significant differences. These differences were statistically significant for pairs of β calculated for daily and weekly/biweekly/monthly returns, as well as for weekly and biweekly ones. Moreover, it was noted that the interval effect is invariably stronger for companies with lower capitalisation. The β increased for companies with the highest level of capitalisation as the time interval of returns was extended, which the literature has to this point reported only for Asian markets in crisis years. Implications / Recommendations: The results indicate that the COVID-19 pandemic did not influence the occurrence of the interval effect observed on the Polish capital market earlier, and only slightly changed some of its detailed characteristics. However, the differentiation of the β (depending on the time horizon of returns used to calculate it) does not make it an effective measure of the risk of investing in securities. Contribution: Conducting research on the occurrence of the interval effect on the WSE during the COVID-19 pandemic will contribute to the knowledge base of capital market participants, particularly on the use of β to measure systematic risk in times of instability on capital markets. Understanding this issue in the context of investing funds on the WSE will be useful for those seeking to adjust investment portfolios to the changing realities of the Polish capital market.Article type: original article.

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Section: Discussionmentioning

confidence: 86%

Section: Introduction *mentioning

confidence: 99%

Differentiation of Beta Coefficients during COVID-19 Pandemic – the Example of Stocks of the Largest Companies Listed on the Warsaw Stock Exchange

Lisicki¹

2023

KREM

View full text Add to dashboard Cite

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The impact of the COVID-19 pandemic on the equity market risk measured by the beta coefficient

Lisicki

2023

Wiadomości Statystyczne. The Polish Statistician

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The beta coefficient () is one of the most popular measures of the risk associated with investing in stocks. In the case of the simple linear regression model, the coefficient shows what change in the rate of return on a companys shares will occur when the market rate of return on shares increases by one percentage point. The aim of the study presented in the article is to compare the value of the coefficient of the shares in the largest companies listed on the Warsaw Stock Exchange (WSE) during the COVID-19 pandemic (20202021) and in the period directly preceding its outbreak (20182019). The considered hypothesis is that the spread of the COVID-19 pandemic had an impact on the value of the coefficient of the shares of selected companies listed on the WSE. In order to verify the hypothesis, the ordinary least squares (OLS) method was used to estimate the coefficient of WSE companies for the indicated research periods. Four different time intervals of returns were used to estimate the coefficient: daily, weekly, biweekly and monthly. The differences between the values of the shares of the issuers qualified for the study proved statistically significant (when verified with the t-test for dependent groups) for all of the indicated time intervals of returns. The research results show a significant change in the value of the coefficient of the shares of the largest WSE issuers during the COVID-19 pandemic in comparison to the previous years, which indicates a higher level of systematic risk for these companies, previously considered as safe. These results are consistent with the research conducted on global capital markets.

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Algorithmic Trading and Efficiency of the Stock Market in Poland

Cited by 2 publications

References 6 publications

Differentiation of Beta Coefficients during COVID-19 Pandemic – the Example of Stocks of the Largest Companies Listed on the Warsaw Stock Exchange

Differentiation of Beta Coefficients during COVID-19 Pandemic – the Example of Stocks of the Largest Companies Listed on the Warsaw Stock Exchange

The impact of the COVID-19 pandemic on the equity market risk measured by the beta coefficient

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