Efekt przedziałowy parametru ryzyka systematycznego na GPW w Warszawie SA

Olbryś, Joanna

doi:10.15611/pn.2014.371.20

Cited by 2 publications

(3 citation statements)

References 22 publications

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“…Using the example of the WSE, these results are a contribution to the research about capital markets during the COVID-19 period. They indicate that the occurrence of the COVID-19 pandemic did not influence the interval effect observed on the Polish capital market earlier (Olbryś 2014a, Feder-Sempach 2017, Lisicki 2019, but only slightly changed some of its characteristics.…”

Section: Discussionmentioning

confidence: 92%

“…Interesting publications on the interval effect on the WSE have been done by Brzeszczyński, Gajdka and Schabek (2011), who, using heteroscedastic ARCH autoregressive models, estimated the effect of the interval for short-term returns on stocks. Other noteworthy studies have been carried out on the interval effect of β and the determination coefficients of the market model (Olbryś 2014a(Olbryś , 2014b, which showed changes in the sensitivity of the abovementioned elements to changes in the length of the time interval for measuring returns. Comparative analyses of the interval effect on shares of companies from the Polish WIG20 index and the German DAX (Feder-Sempach 2017) and also another carried out on the 33 largest issuers listed on the WSE (Dębski, Feder-Sempach & Świderski 2015, p. 279) have also each reported curious results.…”

Section: The Interval Effect -Literature Reviewmentioning

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: 92%

Section: The Interval Effect -Literature Reviewmentioning

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

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“…Niemniej jednak autorzy kontynuujący naukową eksplorację współczynnika β napotykali wiele niedogodności związanych z jego estymacją. Wśród nich należy wymienić przede wszystkim: wybór indeksu, który rzeczywiście będzie odzwierciedlał zachowanie rynku (Bradfield, 2003;Gottwald, 2014;Olbryś i Majewska, 2017), określenie właściwego horyzontu czasowego stóp zwrotu wykorzystywanego do szacowania współczynnika β (Olbryś, 2014;Pogue i Solnik, 1974) czy odpowiedniej długości okresu estymacji (Reeves i Wu, 2013;Tarczyński i Witkowska, 2013;Zahirović i in., 2009).…”

Section: Współczynnik Beta Jako Miara Ryzyka Systematycznego Papierów...unclassified

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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Efekt przedziałowy parametru ryzyka systematycznego na GPW w Warszawie SA

Cited by 2 publications

References 22 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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