<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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.</p><p>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.</p></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.

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

University of Finance and Management in Warsaw Pawia 55, 01-030 Warszawa, Poland

University of Lodz Faculty of Economics and Sociology POW 3/5, 90-255 Łódź, Poland

Folia Oeconomica Stetinensia

{"article-title":"Beta Coefficients of Polish Blue Chip Companies in the Period Of 2005\u20132011"}

Risk plays a significant role in various aspects of financial decision throughout the world financial markets. Beta parameter is one of the commonly used...

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

Publié en ligne: 30 juil. 2013

Pages: 90 - 102

DOI: https://doi.org/10.2478/v10031-012-0025-6

This content is open access.