The Interval Effect in Estimating Beta: Empirical Evidence from the Romanian Stock Market
Journal Title: The Review of Finance and Banking - Year 2015, Vol 7, Issue 2
Abstract
This study presents empirical evidence regarding the interval e¤ect in estimation of beta coeffcients for stocks listed on the Bucharest Stock Exchange. Employing the standard market model, this paper finds that beta estimates for the same stock differs considerably when daily and monthly returns are used. Further, using a linear regression model, this paper shows that the differences between monthly and daily beta estimates are negatively ces to some characteristics of stock, like market capitalization and trading intensity.
Authors and Affiliations
Dragos Stefan Oprea
Keywords
Related Articles
- EP ID EP592275
- DOI -
- Views 175
- Downloads 0
Revisiting the Technical Efficiency Gains of Indian Commercial Banks from Bancassurance
The study is an attempt to evaluate the effect of initiating bancassurance on technical efficiency performance of Indian commercial banks. The technique of Data Envelopment Analysis (DEA) has been used to calculate techn...
Monetary Policy Rules for a Developing Countries: Evidence from Tunisia
This paper estimates the forward-looking monetary policy reaction function of the Central Bank of Tunisia (CBT) using quarterly data from 1993:Q2 to 2011:Q4. Policies which the CBT applied are analyzed according to the T...
Taylor rule in a policy-mix analysis for open heterogeneous monetary unions
The paper studies, at a purely theoretical level, the monetary-fiscal policy-mix in an open currency union with asymmetric monetary transmission, where the central bank follows an interest rate Taylor rule. It shows that...
Insider Trading, Market Efficiency, and Regulation - A Literature Review
The paper reviews the existing studies on insider trading, market efficiency, and regulation. We suggest that insider trading information is useful to escalate the price discovery. However, most of studies on insider tra...
Forensic Finance: Market Abuse and Price Manipulation in Security Markets on the Trail
On 19th March 2009, national newspapers in Austria reported on a “turbo scandal” that had been suspected on the Vienna Stock Exchange. Concerned investors argued that the issuers of turbo certificates tried to raid the u...