Examination of the time stationarity of systematic risk : the case of the Athens stock exchange
Τσοβόλα, Βασιλική Κ.
SubjectΧρηματιστήριο Αξιών Αθηνών ; Αγορά χρήματος -- Ελλάδα ; Διαχείριση χαρτοφυλακίου ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι
The correct calculation, the effective management and the reduction of investment risk, consists the strong desire of all investors, without any exemption. Given that, in the last decades, the majority of investors hold diversified portfolios, the specific risk is not considered because it can be eliminated. As a result, the only priced risk is systematic risk. This is the reason that “market risk” (or “systematic risk”), expressed by the “beta coefficient”, has attracted the interest of numerous researchers. However, the calculation of beta is based totally on historical returns. It follows that stationarity of the utilized returns distributions is crucial, because it permits the use of historical betas as surrogates of the current market risk. In this study, we test stationarity in the context of the Athens Stock Exchange. In an attempt to avoid the bias resulting from a possible “small firm effect”, we control our data for size. We also examine alternative time intervals and different market conditions.