The Interval Effect During the COVID-19 Pandemic – The Case of the Warsaw Stock Exchange

Lisicki Bartłomiej
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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.
COVID-19大流行期间的间隔效应——以华沙证券交易所为例
在估计β系数(β)的过程中,困难之一是指出计算它所需的测量收益率的间隔。使用不同的时间间隔来计算β,可以注意到估计值的显著差异。这些差异的出现被称为间隔效应。本研究的目的是确定在COVID-19大流行期间华沙证券交易所指数的股票之间是否也发生了间隔效应。经济状况的严重不稳定导致了资本市场的剧烈动荡。这种情况产生了研究动机,可以用来发现资本市场上新的依赖关系。本文的目的是检查在COVID-19大流行传播的年份中,在采用不同方法估计其股票回报的情况下,是否有可能观察到WIG上公司之间的其他水平的β。因此,在分析周期内,可以注意到区间效应对WSE的影响。有趣的是,在详细分析的关系中,我们注意到,随着回报时间间隔的延长,资本较高的公司的β增加。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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