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Estimating parameters of the CAPM under generalised asymmetric student-t distribution—The case of the Warsaw Stock Exchange sectoral indices 广义非对称学生 t 分布下的 CAPM 参数估计--华沙证券交易所行业指数案例

Financial statistical journal Pub Date : 2024-06-14 DOI: 10.24294/fsj.v6i2.5632

Mateusz Pipień

{"title":"Estimating parameters of the CAPM under generalised asymmetric student-t distribution—The case of the Warsaw Stock Exchange sectoral indices","authors":"Mateusz Pipień","doi":"10.24294/fsj.v6i2.5632","DOIUrl":"https://doi.org/10.24294/fsj.v6i2.5632","url":null,"abstract":"This paper analyses selected sub-indices listed on the Warsaw Stock Exchange (WSE) covering seven sectors: construction, IT, media, real estate, fuel, food, and telecommunications, from 3 January 2006 to 29 May 2020. We use daily, weekly, monthly, and quarterly data, resulting in 3600 daily, 751 weekly, 172 monthly, and 56 quarterly observations. The WIG index quotations were used to approximate the market portfolio and the Poland 10Y government bond yields for the risk-free rate. We have estimated the parameter β in CAPM regression using three different stochastic assumptions for the error term. The basic stochastic framework of the model utilises the generalised asymmetric student-t distribution (GAST). We have also estimated the parameter β based on the symmetric version of the GAST distribution and on the Gaussian one. These models can be treated as a special case of the basic framework. The estimates of the β parameter are influenced by the assumptions made about the error term. The data indicates that except for WIG-Paliwa, the Gaussian error term leads to larger β estimates than other non-Gaussian specifications. The inference about the shape parameters is not very certain, and the data does not strongly support the two-piece mechanism that enforces the asymmetry of the error term distribution. Furthermore, the estimates of the β parameter depend strongly on the frequency of the analysed series.","PeriodicalId":497157,"journal":{"name":"Financial statistical journal","volume":"41 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141339930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A comparative analysis of efficiency in the Brazilian banking sector: A data envelopment analysis approach 巴西银行业效率比较分析：数据包络分析法

Financial statistical journal Pub Date : 2024-01-04 DOI: 10.24294/fsj.v6i2.2150

Alex Cerqueira Pinto, M. Tessmann

{"title":"A comparative analysis of efficiency in the Brazilian banking sector: A data envelopment analysis approach","authors":"Alex Cerqueira Pinto, M. Tessmann","doi":"10.24294/fsj.v6i2.2150","DOIUrl":"https://doi.org/10.24294/fsj.v6i2.2150","url":null,"abstract":"This work aims to analyze the efficiency of Brazilian financial institutions until the COVID-19 pandemic period, from production and profitability perspectives. To accomplish this, the data envelopment analysis (DEA) techniques, specifically the CCR and BCC models, are applied to 213 Brazilian financial institutions in four methodological stages. The first step involved conducting a literature review of similar studies. The second step consisted of gathering financial information for each bank through the website of the Central Bank of Brazil. The third step involved selecting the variables to be used in the models. The fourth step was outlier detection using the jackstrap method. Subsequently, the mentioned efficiency models were applied, and the most efficient banks were identified based on each perspective. The results identified heterogeneous groups of efficient banks based on different market segments, with a focus on the efficiency of large banks and public banks when considering the production-oriented perspective. It is also observed that new digital banks are among the banks considered efficient. These findings are valuable for the scientific literature investigating the sustainability of financial institutions, as well as for decision-makers seeking to make more efficient investment allocations and for banking supervisory authorities in formulating risk regulatory policies.","PeriodicalId":497157,"journal":{"name":"Financial statistical journal","volume":"55 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139386520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0