Are Beta Parameters Stable on the Warsaw Stock Exchange?

Abstract

Beta parameter is one of the commonly used measurements of individual stockor portfolio investment risk and plays a crucial role in modern portfolio theoryparticularly in management of financial investment portfolios. Many studieshave been done in this field, particularly on its properties such as stability in thecontext of the stock market cycle phases, measuring frequency of rate of return,length of sample period. However, the number of studies concerning beta parameterin the counties of Central and Eastern Europe that have undergone systemictransformation at the end of the previous century is much lower. Therefore wedecided to study the changes of behavior of the beta parameter in those countries.The main aim of this article is to examine the beta parameter stability over bulland bear market conditions on the Warsaw Stock Exchange. The paper presentsan analysis of betas stability for 134 stocks of the largest companies listed at theWSE during years 2005–2013.

Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021

“…In turn, analysis of Sunder (1980), Bos and Newbold (1984) and Braun et al (1995), all for NYSE, showed that beta coefficients are highly timevarying. At last, some empirical studies produced contradictory result on the stability of beta on developed markets, just like for emerging markets, e.g., Baesel (1974), Levy (1971), Dębski et al (2011), Dębski and Feder-Sempach (2012), Witkowska (2008).…”