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

2012 ◽  
Vol 12 (2) ◽  
pp. 90-102 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach
Keyword(s):  
Financial Markets ◽  
Strong Evidence ◽  
Stock Exchange ◽  
Good News ◽  
Market Model ◽  
Bear Market ◽  
The World ◽  
Warsaw Stock Exchange ◽  
Financial Decision ◽  
Blue Chip

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.

scholarly journals Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange

2016 ◽  
Vol 16 (1) ◽  
pp. 75-92 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Stock Exchange ◽  
Point Of View ◽  
Financial Investment ◽  
Bear Market ◽  
Index Model ◽  
Parameter Stability ◽  
Single Index Model ◽  
Warsaw Stock Exchange ◽  
Measuring Frequency ◽  
Investment Portfolios

Abstract Beta parameter is one of the commonly used measures of the investment risk of individual stock or portfolio. It plays a crucial role in modern portfolio theory particularly in management of financial investment portfolios. In the field of beta parameter, numerous studies have been conducted, especially beta properties stability in the context of the stock market cycle phases, measuring frequency of rate of return, and the length of a sample period. There are much fewer studies concerned beta parameter in the countries of Central and Eastern Europe which have undergone systemic transformation at the end of the previous century. From a scientific point of view, it is interesting to know how the beta parameter behaves in these countries. The main goal of this article is to examine the beta parameter stability over bull and bear market conditions on the Warsaw Stock Exchange. The paper presents an analysis of beta stability for 134 stocks of the largest companies listed at the WSE during years 2005–2013. To verify statistically the hypothesis of beta parameter stability, we used monthly returns in the Sharpe’s single-index model. In the first part of the article, we present a brief review of the literature and methodology of the study, while in the second part, the obtained results and conclusions are shown.

scholarly journals The impact of Covid-19 on international financial markets: winners and losers

2021 ◽  
Vol 7 (1) ◽  
pp. 53-75
Author(s):  
Gema Orihuel Bañuls
Keyword(s):  
Global Health ◽  
Financial Markets ◽  
World Economy ◽  
Stock Exchange ◽  
Economic Recovery ◽  
Specific Information ◽  
2008 Financial Crisis ◽  
The World ◽  
The 2008 Financial Crisis ◽  
The Impact

The pandemic caused by the SARS-Cov-2 (Covid-19) virus has triggered a worldwide impact on the economy that has been firstly reflected in the financial markets‘ performance. As a consequence of this global health emergency, the world economy is going to deal with its greatest threat since the 2008 Financial Crisis. However, the collapse and recovery of countries and industries are likely to be divergent. This paper aims to provide a global picture of different stock exchange indexes’ progress, including SP 500, Eurostoxx 50, IBEX 35 and CSI 300. In addition, components‘ performance of the Eurostoxx 50 have been analyzed in order to gather more specific information regarding the Covid-19 impact in different industries. Results have revealed that recovery in some of the stock markets are due to large corporation’s resilience and some winning sectors. As a result, the economic recovery is taking the form of a "K".

scholarly journals IMPACT OF COVID 19 ON THE INDIAN STOCK MARKET

2021 ◽  
Vol 23 (07) ◽  
pp. 1085-1090
Author(s):  
Harsh Vikram Arora ◽  
Keyword(s):  
United States ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Price ◽  
Stock Exchange ◽  
The United States ◽  
World Health ◽  
Health Crisis ◽  
The World ◽  
The Impact

The COVID19 pandemic which came unprecedentedly has brought forward a lot of confusion and unrest in the world. There are a lot of changes with regard to the global landscape in multiple ways. SARS-CoV-2 is the primary virus, which is the root contributor to the COVID19 outbreak, which started in Wuhan, Hubei Province, China, in December 2019. It did not take much time to spread across the world. This pandemic has resulted in a universal health crisis, along with a major decline in the global economy. One of the major reasons for the fluctuation in the stock price is supply and demand. When the number of people who want to sell their stocks outnumbers those who want to purchase it, the stock price drops. Due to the result in the gap, the financial markets will suffer in the short duration, but in the long run, markets will correct themselves and would increase again. There is a sharp decline in the stock price because of the pandemic. The current scenario has resulted in a world health crisis which has contributed to global and economic crises. Almost all financial markets across the world have been affected by the recent health crisis, with stock and bond values falling gradually and severely. In the United States, the Dow Jones and S& P 500 indices have fallen by more than 20%. The Shanghai Stock Exchange and the New York Dow Jones Stock Exchange both indicate that they had a significant impact on China’s and the United States’ financial markets. The primary purpose of this paper is to determine the impact of COVID19 on stock markets. The rapid spread of the virus has left a major impact on the global financial markets. There is a link between the pandemic and the stock market, and this has been studied in this paper. Along with it, an attempt is taken to compare stock price returns in pre-COVID19 and post-COVID19 scenarios. The stock market in India faced uncertainty during the pandemic, according to the findings.

scholarly journals Testing for causality in variance for world stock exchange indexes

2011 ◽  
Vol 2 (4) ◽  
pp. 5-27
Author(s):  
Małgorzata Madrak-Grochowska ◽  
Mirosława Żurek
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Stock Exchange ◽  
Garch Models ◽  
Time Intervals ◽  
Financial Variables ◽  
Arch Effect ◽  
Technological Advances ◽  
World Markets ◽  
The World

The main aim of this study was to determine the nature of the relations between selected stock exchange indexes in the world (ATX, DAX, NASDAQ, NIKKEI, FTSE and WIG20), with special emphasis on the causality in variance. Due to the characteristics of financial variables (the daily closing rates of analyzed indexes) such as: focusing on volatility, volatility of the conditional variance, skew and leptokurtic, GARCH models and Cheung-Ng test were used to study the relations between selected capital markets. First part of the paper contains a brief theoretical introduction about GARCH model and the description of the Cheung-Ng test. In the next part were the analyzed time series described, including the testing for ARCH effect. The last and the most comprehensive empirical part contains the results of tests for different combinations of three levels of significance: α = 0.1, α = 0.05 and α = 0.01 and for time intervals: m = 1, m = 3 and m = 5. The results of analysis demonstrate that selected world's capital markets are strongly linked with each other, and the volatility of one financial series has an impact on others. It may be explained by the increasing integration and liberalization of financial markets, globalization and technological advances in information flow. The results of Cheung-Ng test indicated that among the analyzed indexes of stock markets the greatest impact on the world markets has the NASDAQ index and the lowest – DAX, FTSE and WIG20. In addition, tests showed that the most vulnerable to foreign influence is the NIKKEI index, and the most independent – NASDAQ.

scholarly journals Application of the Divisia Index with Interconnected Factors in the Warsaw Stock Exchange Index (WIG) fluctuation analysis

2017 ◽  
Vol 4 (330) ◽  
Author(s):  
Jacek Białek ◽  
Radosław Pietrzyk
Keyword(s):  
Financial Market ◽  
Market Research ◽  
Stock Exchange ◽  
Fluctuation Analysis ◽  
Gdp Growth ◽  
Time Interval ◽  
Divisia Index ◽  
Bear Market ◽  
Warsaw Stock Exchange ◽  
Main Factors

This paper presents a method of economic factorial analysis based on the Divisia index extended to interconnected factors. We verify the applicability of the presented method to financial market research by examining fluctuations of the Warsaw Stock Exchange WIG Index (WIG). We consider four main factors of WIG changes: the GDP growth, the PLN/EUR rate, the S&P500 and the unemployment rate. Due to computational reasons we apply the transformation that produces variables in the bigger the better form. We use quarterly data from the time interval between 2003 and 2014 divided into periods of bull and bear market. All considered variables are assumed to change linearly between quarters. The main conclusion is that during market prosperity, GDP and S&P500 changes exhibit the strongest influence on WIG changes.

scholarly journals Are Beta Parameters Stable on the Warsaw Stock Exchange?

2015 ◽  
Vol 3 (3) ◽  
pp. 65-74 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Central And Eastern Europe ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Investment Risk ◽  
Portfolio Investment ◽  
Financial Investment ◽  
Bear Market ◽  
Warsaw Stock Exchange ◽  
Measuring Frequency ◽  
Investment Portfolios

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.

FRACTIONAL MARKET MODEL AND ITS VERIFICATION ON THE WARSAW STOCK EXCHANGE

2008 ◽  
Vol 19 (03) ◽  
pp. 453-469 ◽  
Author(s):  
MARZENA KOZŁOWSKA ◽  
ANDRZEJ KASPRZAK ◽  
RYSZARD KUTNER
Keyword(s):  
Power Law ◽  
Stock Exchange ◽  
Significant Risk ◽  
Finite Size ◽  
Market Model ◽  
Finite Size Effect ◽  
Relaxation Equation ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
Scaling Region

We analyzed the rising and relaxation of the cusp-like local peaks superposed with oscillations which were well defined by the Warsaw Stock Exchange index WIG in a daily time horizon. We found that the falling paths of all index peaks were described by a generalized exponential function or the Mittag-Leffler (ML) one superposed with various types of oscillations. However, the rising paths (except the first one of WIG which rises exponentially and the most important last one which rises again according to the ML function) can be better described by bullish anti-bubbles or inverted bubbles.2–4 The ML function superposed with oscillations is a solution of the nonhomogeneous fractional relaxation equation which defines here our Fractional Market Model (FMM) of index dynamics which can be also called the Rheological Model of Market. This solution is a generalized analog of an exactly solvable fractional version of the Standard or Zener Solid Model of viscoelastic materials commonly used in modern rheology.5 For example, we found that the falling paths of the index can be considered to be a system in the intermediate state lying between two complex ones, defined by short and long-time limits of the Mittag-Leffler function; these limits are given by the Kohlrausch-Williams-Watts (KWW) law for the initial times, and the power-law or the Nutting law for asymptotic time. Some rising paths (i.e., the bullish anti-bubbles) are a kind of log-periodic oscillations of the market in the bullish state initiated by a crash. The peaks of the index can be viewed as precritical or precrash ones since: (i) the financial market changes its state too early from the bullish to bearish one before it reaches a scaling region (defined by the diverging power-law of return per unit time), and (ii) they are affected by a finite size effect. These features could be a reminiscence of a significant risk aversion of the investors and their finite number, respectively. However, this means that the scaling region (where the relaxations of indexes are described by the KWW law or stretched exponential decay) was not observed. Hence, neither was the power-law of the instantaneous returns per unit time observed. Nevertheless, criticality or crash is in a natural way contained in our FMM and we found its "finger print".

scholarly journals IMPACT OF GLOBAL FINANCIAL CRISIS ON JAPAN, CHINA, INDIA AND USA STOCK EXCHANGE AND INTER-LINKAGE BETWEEN THEM

2016 ◽  
Vol 4 (5) ◽  
pp. 189-197
Author(s):  
Rabia Najaf
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Garch Model ◽  
The World ◽  
Prime Objective ◽  
The Impact

In this paper, we analyzed the impact of financial crisis on different countries by the using of E-GARCH model .our main finding is that in the financial crisis has impact on the stock exchange of different countries. We proved that due to financial crisis most of countries stock exchange have been affected badly. In the world,the American stock exchange was established in 1792. Two dozen brokers were started the stock trading.Now a day, 2,429 companies are listed under this stock exchange. The prime objective of the scholars is to find out the impact of financial crisis on the different stock market. Scholars have proved that financial crisis have always impacted on the financial markets.

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