{"title":"The Interval Effect During the COVID-19 Pandemic – The Case of the Warsaw Stock Exchange","authors":"Lisicki Bartłomiej","doi":"10.18690/um.epf.5.2022.6","DOIUrl":null,"url":null,"abstract":"One of the difficulties in the process of estimating beta coefficients (β) is indicating the interval for measuring the return necessary to calculate it. Using various time intervals to calculate β, significant differences in estimates were noticed. The occurrence of these differences is called the interval effect. The aim of this study is to determine whether the occurrence of the interval effect also occurred among shares in the Warsaw Stock Exchange Index during the COVID-19 pandemic. The significant destabilisation of economic conditions has led to strong turmoil in capital markets. This situation creates research motives that can be used to discover new dependencies in capital markets. The aim of this paper is to check whether in years of spread of the COVID-19 pandemic, it was possible to observe other levels of β among companies on the WIG in the situation of a different approach to estimating returns on their shares). Therefore, in the period analysed, the interval effect can be noticed on the WSE. Interestingly, among the detailed relationships analysed, it was noticed that along with the extension of the time interval of returns, the β increased for companies with higher capitalisation.","PeriodicalId":217320,"journal":{"name":"6th FEB International Scientific Conference 2022","volume":"66 8","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"6th FEB International Scientific Conference 2022","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18690/um.epf.5.2022.6","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
One of the difficulties in the process of estimating beta coefficients (β) is indicating the interval for measuring the return necessary to calculate it. Using various time intervals to calculate β, significant differences in estimates were noticed. The occurrence of these differences is called the interval effect. The aim of this study is to determine whether the occurrence of the interval effect also occurred among shares in the Warsaw Stock Exchange Index during the COVID-19 pandemic. The significant destabilisation of economic conditions has led to strong turmoil in capital markets. This situation creates research motives that can be used to discover new dependencies in capital markets. The aim of this paper is to check whether in years of spread of the COVID-19 pandemic, it was possible to observe other levels of β among companies on the WIG in the situation of a different approach to estimating returns on their shares). Therefore, in the period analysed, the interval effect can be noticed on the WSE. Interestingly, among the detailed relationships analysed, it was noticed that along with the extension of the time interval of returns, the β increased for companies with higher capitalisation.