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Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE

Author

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  • Dębski Wiesław

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

  • Feder-Sempach Ewa

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

  • Świderski Bartosz

    (Warsaw University of Life Sciences, Nowoursynowska 166, 02-787 Warszawa, Poland)

Abstract

In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe’s model.

Suggested Citation

  • Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2014. "Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 270-286, December.
    • Handle: RePEc:vrs:foeste:v:14:y:2014:i:2:p:270-286:n:18
    DOI: 10.1515/foli-2015-0018
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    beta parameter; intervalling effect; largest companies on Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G01 - Financial Economics - - General - - - Financial Crises

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