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Sensitivity Analysis of the Beta Parameter Estimated for the Blue-chip Polish Companies (Wplyw zmiany indeksu rynku na parametr beta dla spolek z indeksu WIG20)

Author

Listed:
  • Wieslaw Debski

    (Wyzsza Szkola Finansow i Zarzadzania w Warszawie, Wydzial Zarzadzania i Finansow)

  • Ewa Feder-Sempach

    (Uniwersytet Lodzki, Wydzial Ekonomiczno-Socjologiczny, Katedra Finansow)

  • Szymon Wojcik

    (Uniwersytet Lodzki, Wydzial Ekonomiczno-Socjologiczny, Katedra Finansow)

Abstract

The authors analyze the sensitivity of the beta parameter from Sharpe’s single-index model to the change of market index. The estimation was made for twelve largest companies of the Warsaw Stock Exchange in the period 2005–2015 with the usage of three return intervals: daily, weekly and monthly. The results are applicative and indicate that in the case of daily data it is important whether the market index is WIG or WIG20. When the frequency of measurement is reduced, the impact of this change is stronger. The sensitivity of the beta parameter to the change of the market index is greater (daily data) but decreases with an increase of the return interval measurement. A change of the market index does not affect the parameters of the stochastic structure of the estimated model.

Suggested Citation

  • Wieslaw Debski & Ewa Feder-Sempach & Szymon Wojcik, 2018. "Sensitivity Analysis of the Beta Parameter Estimated for the Blue-chip Polish Companies (Wplyw zmiany indeksu rynku na parametr beta dla spolek z indeksu WIG20)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(76), pages 11-23.
    • Handle: RePEc:sgm:pzwzuw:v:16:i:76:y:2018:p:11-23
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    More about this item

    Keywords

    beta parameter; sensitivity analysis; Sharpe’s model;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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