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Asymmetric Responses of CAPM - Beta to the Bull and Bear Markets on the Bucharest Stock Exchange

Author

Listed:
  • Răzvan Ştefănescu

    (“Dunărea de Jos” University of Galaţi, Romania)

  • Costel Nistor

    (“Dunărea de Jos” University of Galaţi, Romania)

  • Ramona Dumitriu

    (“Dunărea de Jos” University of Galaţi, Romania)

Abstract
The CAPM - beta is one of the most used tools to estimate the systematic risks associated to stock. In the last decades different behaviours of beta were revealed for the circumstances of the bull and the bear markets. This paper analyses the CAPM – beta responses for bad and good news for ten representative stocks from the Bucharest Stock Exchange. We identify the bull, the bear and the tranquil markets using a univariate kernal density function and we calculate for each stage the single and the multifactor CAPM betas. We conclude that for most of the stocks CAPM betas are the largest in the bear conditions and they are the least in the bull markets conditions.

Suggested Citation

  • Răzvan Ştefănescu & Costel Nistor & Ramona Dumitriu, 2009. "Asymmetric Responses of CAPM - Beta to the Bull and Bear Markets on the Bucharest Stock Exchange," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(4), pages 257-262.
    • Handle: RePEc:pet:annals:v:9:i:4:y:2009:p:257-262
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    References listed on IDEAS

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    Cited by:

    1. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
    2. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.
    3. Dębski Wiesław & Feder-Sempach Ewa, 2012. "Beta Coefficients of Polish Blue Chip Companies in the Period Of 2005–2011," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 90-102, December.

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