Title:

Clustering companies listed on the Warsaw Stock Exchange according to time-varying beta

Group publication title:

Ekonometria = Econometrics

Title in english:

Grupowanie spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie według bet zmiennych w czasie

Creator:

Szczepocki, Piotr

Subject and Keywords:

time series clustering ; cluster analysis ; time-varying beta ; grupowanie szeregów czasowych ; analiza skupień ; bety zmienne w czasie ; CAPM

Description:

Econometrics = Ekonometria, 2019, Vol. 23, No. 2, s. 63-79

Abstrakt:

The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2019

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/eada.2019.2.05

Language:

eng

Relation:

Econometrics = Ekonometria, 2019, Vol. 23, No. 2

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu