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

Author

Listed:
  • Dębski Wiesław

    (University of Finance and Management in Warsaw, Pawia 55 Str., 01-030 Warsaw, Poland)

  • 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)

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.

Suggested Citation

  • Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2016. "Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange," Folia Oeconomica Stetinensia, Sciendo, vol. 16(1), pages 75-92, December.
    • Handle: RePEc:vrs:foeste:v:16:y:2016:i:1:p:75-92:n:6
    DOI: 10.1515/foli-2016-0006
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    References listed on IDEAS

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    Cited by:

    1. Syed Mohammad Faisal & Ahmad Khalid Khan & Omar Abdullah Al Aboud, 2018. "Estimating Beta (¦Â) Values of Stocks in the Creation of Diversified Portfolio - A Detailed Study," Applied Economics and Finance, Redfame publishing, vol. 5(3), pages 89-99, May.

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    More about this item

    Keywords

    beta parameter; Sharpe’s single–index model; bull and bear market; stability of beta; Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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