<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas.</p></abstract>

The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas.

Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta

Econometrics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the...

Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta

Publicado en línea: 26 jun 2019

Páginas: 63 - 79

DOI: https://doi.org/10.15611/eada.2019.2.05

Palabras clave
time series clustering, cluster analysis, time-varying beta

© 2019 Piotr Szczepocki, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta

Publicado en línea: 26 jun 2019

Páginas: 63 - 79

DOI: https://doi.org/10.15611/eada.2019.2.05

Palabras clavetime series clustering, cluster analysis, time-varying beta

© 2019 Piotr Szczepocki, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Palabras clave
time series clustering, cluster analysis, time-varying beta