The Bayesian Method in Estimating Polish and German Industry Betas. A Comparative Analysis of the Risk between the Main Economic Sectors from 2001–2020

Ewa  Feder‑Sempach; Piotr Szczepocki

doi:10.18778/1508-2008.25.12

Autor

Ewa Feder‑Sempach Ph.D., University of Lodz, Faculty of Economics and Sociology, Department of International Finance and Investment, Lodz, Poland https://orcid.org/0000-0001-9586-1417
Piotr Szczepocki Ph.D., University of Lodz, Faculty of Economics and Sociology, Department of Statistical Methods, Lodz, Poland https://orcid.org/0000-0001-8377-3831

DOI:

https://doi.org/10.18778/1508-2008.25.12

Słowa kluczowe:

beta sektorowa, CAPM, metoda bayesowska, symulacja Monte Carlo, Polska, Niemcy

Abstrakt

Celem artykułu jest porównanie długookresowych zależności w poziomie branżowego ryzyka systematycznego, mierzonego współczynnikiem beta, na polskim i niemieckim rynku giełdowym. Poziom ryzyka został oszacowany dla pięciu sektorów polskich i trzech niemieckich na podstawie modelu CAPM z wykorzystaniem metody bayesowskiej w okresie 2001–2020. Cele szczegółowe artykułu to rozwinięcie i udoskonalenie nowego podejścia bayesowkiego (model SBETA) do szacowania poziomu ryzyka i porównanie wielkości współczynnika beta zmiennego w czasie na obu rynkach wraz z prostą rekomendacją inwestycyjną, tj. sektor agresywny lub defensywny.

Wyniki wskazują, że współczynniki beta niemieckich sektorów miały niższy poziom persystencji, co jest charakterystyczne dla rynków rozwiniętych. Sektor bankowy okazał się najbardziej agresywny, najwyższy poziom bety, zarówno na polskim i niemieckim rynku giełdowym. Polskie indeksy sektorowe budownictwo, IT, artykuły spożywcze i telekomunikacja zostały zakwalifikowane do defensywnych. Niemieckie indeksy, Technologiczny (IT) został zakwalifikowany do agresywnych ale telekomunikacja do defensywnych. Na podstawie obliczeń wskazano, że polski sektor bankowy i niemiecki technologiczny przyniosły wyższe dochody niż cały rynek w analizowanym okresie. Wyniki mają bardzo duże znaczenie dla oceny poziomu ryzyka systematycznego na polskiej i niemieckiej giełdzie papierów wartościowych i dają jasne rekomendacje inwestorom międzynarodowym.

Pobrania

Brak dostępnych danych do wyświetlenia.

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