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Beta Parameter Stability for the Largest Companies Listed on the Polish, German, and French Market – a Comparative Study
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.
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DOI: http://dx.doi.org/10.17951/h.2017.51.5.69
Date of publication: 2017-12-22 12:02:39
Date of submission: 2017-04-20 14:02:25
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Copyright (c) 2017 Wiesław Dębski, Ewa Maja Feder-Sempach, Szymon Wójcik
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