Szczegóły publikacji
Opis bibliograficzny
Bayesian analysis of time-varying systematic risk: evidence from the Warsaw Stock Exchange / Tomasz WÓJTOWICZ // W: Proceedings of the 47th International Business Information Management Association Conference (IBIMA) [Dokument elektroniczny] : digital innovation, sustainable development and business transformation : 29-30 June, 2026, [Madrid, Spain] / ed. Khalid S. Soliman. — Wersja do Windows. — Dane tekstowe. — [Spain] : International Business Information Management Association (IBIMA), cop. 2026. — ( Proceedings of the... International Business Information Management Association Conference ; ISSN 2767-9640 ). — e-ISBN: 979-8-9945104-0-7. — S. 1263-1272. — Wymagania systemowe: Adobe Reader. — Tryb dostępu: https://s.agh.edu.pl/6V9o9 [2026-09-09]. — Bibliogr. s. 1271-1272, Abstr.
Autor
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 169335 |
|---|---|
| Data dodania do BaDAP | 2026-09-09 |
| Rok publikacji | 2026 |
| Typ publikacji | materiały konferencyjne (aut.) |
| Otwarty dostęp |  |
| Konferencja | International Business Information Management 2026 |
| Czasopisma/serie | IBIMA Business Review, Proceedings of the... International Business Information Management Association Conference |
Abstract
This study investigates the time variation of systematic risk for companies listed on the Warsaw Stock Exchange (WSE) during the period 2011-2025. The empirical analysis combines rolling-window estimation with Bayesian approaches to structural instability and stochastic risk dynamics. The results reveal instability of beta coefficients, particularly during the COVID-19 pandemic and the subsequent energy and inflation shocks. The evidence for structural changes is considerably stronger for residual variance than for beta coefficients themselves. Dynamic Bayesian models further indicate that systematic risk evolves continuously over time and exhibits persistent but stationary dynamics, strongly rejecting random-walk-type behavior of beta coefficients. Banking sector companies display relatively stable market exposure, whereas growth-oriented and energy-related firms exhibit significantly stronger beta instability. The findings suggest that the assumption of constant beta coefficients may be difficult to justify for companies listed on the WSE and support the application of dynamic asset pricing models in emerging equity markets.
