Beta Coefficients of Polish Blue Chip Companies in the Period Of 2005–2011

Abstract

Risk plays a significant role in various aspects of financial decision throughout the world financial markets. Beta parameter is one of the commonly used coefficient to estimate the systematic risk associated with stocks. Beta is mostly calculated using single index market model by W. Sharpe. This study examined the beta parameter under bull and bear market conditions on the Warsaw Stock Exchange (WSE). This paper analyses the beta responses for bad and good news for 44 stocks (14 stocks from the WIG20 index and 30 stocks from the mWIG40 index) over the last six years of trading at the WSE. Beta was calculated using monthly returns over the period 2005-2011, separately for the bull and the bear market. Our analysis finds strong evidence that beta is different in bull and bear market phase.

Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021

“…In turn, analysis of Sunder (1980), Bos and Newbold (1984) and Braun et al (1995), all for NYSE, showed that beta coefficients are highly timevarying. At last, some empirical studies produced contradictory result on the stability of beta on developed markets, just like for emerging markets, e.g., Baesel (1974), Levy (1971), Dębski et al (2011), Dębski and Feder-Sempach (2012), Witkowska (2008).…”