Beta Parameter Stability for the Largest Companies Listed on the Polish, German, and French Market – a Comparative Study Cover Image

Stabilność parametru beta dla największych spółek z rynku polskiego, niemieckiego i francuskiego – analiza porównawcza
Beta Parameter Stability for the Largest Companies Listed on the Polish, German, and French Market – a Comparative Study

Author(s): Szymon Wójcik, Ewa Feder-Sempach, Wiesław Dębski
Subject(s): Business Economy / Management, Transformation Period (1990 - 2010), Present Times (2010 - today), Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Marii Curie-Sklodowskiej
Keywords: beta parameter; modified Sharpe model; stability of beta parameter; Polish, German and French stock exchange market; bull and bear market;

Summary/Abstract: In the literature on the financial market, numerous studies have investigated the beta parameter. A lot of research has been carried out testing beta stability over bull and bear markets depending on frequency of measurement of the rate of return. It is hard to find that kind of study made for Central-Eastern European countries in comparison to other well developed Western countries. The main purpose of this article is to examine the stability of beta parameter for the largest companies listed on the Warsaw, Frankfurt, and Paris Stock Exchange, divided into bull and bear market conditions. The analysis is based on the modified model of Sharpe on the monthly data from the period 2005–2015. The article verifies the hypothesis that beta parameters are stable. Verification is done using the Chow, Student’s t, and Kolmogorov-Smirnov tests.

  • Issue Year: LI/2017
  • Issue No: 5
  • Page Range: 69-78
  • Page Count: 10
  • Language: Polish