- Tytuł:
-
Badanie stabilności współczynnika beta akcji indeksu WIG20
Beta Coefficient of WIG20s Shares Stability Examination - Autorzy:
- Letkowski, Dariusz
- Powiązania:
- https://bibliotekanauki.pl/articles/586616.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Indeks giełdowy
Portfel inwestycyjny
Warszawski Indeks Giełdowy (WIG)
Współczynnik Beta
Beta factor
Investment portfolio
Stock market indexes
Warsaw Stock Exchange Index - Opis:
- The aim of the article is to examine beta coefficient of WIG20's shares stability. Beta coefficient provides systematic risk measurement, so it's stability is a key factor for effective portfolio management based on beta coefficient. Research reveals beta coefficients high volatility throughout test period of 2001-2012, in particular under financial crisis conditions. Proposed beta coefficient stability ranking reflects combined results of different stability measures: standard deviation, coefficient of variation and mean absolute deviation. Stability ranking is a simple approach to gain some level of statistical objectivity. However, in general beta coefficients of WIG20's shares are highly volatile, what can affect investment portfolio risk and return management.
- Źródło:
-
Studia Ekonomiczne; 2013, 174; 75-87
2083-8611 - Pojawia się w:
- Studia Ekonomiczne
- Dostawca treści:
- Biblioteka Nauki
Artykuł