Η διαχρονική σταθερότητα του συντελεστή βήτα και της διακύμανσης των αποδόσεων μετοχών και χαρτοφυλακίων μετοχών
KeywordsChow Breakpoint Test ; Multiple Breakpoint Test ; Cumulative Sum Test (CUSUM) ; Cumulative Sum of Squares Test (CUSUMSQ) ; Συντελεστής βήτα ; Διαχρονική σταθερότητα ; Διαρθρωτικές αλλαγές ; Κρίση 2008 ; Beta ; Stability of beta ; Break points ; Structural changes ; Subprime crisis
This paper deals with the analysis of the time stability of beta factors and the fluctuation of individual stock and portfolio returns for the markets of England, France and Greece. The period under consideration is a period of 18 years from the beginning of 2000 to the end of 2018. More specifically, it is examined whether the economic recession of 2008 is likely to affect the characteristics of beta factors. Initially, the stability of the variance in stock and portfolio returns is examined, and then the beta shares of the shares are estimated to rank in order and build the portfolios. Then, based on the methodology of Harish S N & T. Mallikarjunappa, a series of tests was conducted to control the stability of beta for stocks and portfolios and whether the crisis affected these factors. The results we conclude are that by splitting the assessment period into subperiods, volatility of beta factors was observed in both individual stocks and in the portfolios of the three countries under review. However, looking at the long-term during the 18-year period, a significant increase in the stability of these coefficients was observed.