Economic Themes (2012) 50 (3) 9, 415-432
Milica Radović, Aleksandar Vasiljević
Abstract: In the previous five years in the period 2006-2011, the capital market in Serbia has had clearly three differentiated subperiods: strong increasing trend, strong downward trend and non-trend (the period of consolidation). The stability of the beta coefficient, depending on the direction of the market for the most liquid stocks, is researched in the study. The movement of the market portfolio presented by the general stock index of the Belgrade Stock Exchange, Belexline, the movement of the index of the most liquid stocks Belex15, and/or the stocks of the companies that constitute the index basket Belex15 is analysed for each direction. The beta coefficient, the correlation coefficient and the coefficient of determination for the stocks of individual companies and for the index Belex15 itself have been calculated by applying the regression analysis during the period of five years, as well as during the individual subperiods. The liquidity of stocks has individually been analysed. On the basis of the results, the evaluation of the stability of the beta coefficient has been performed, depending on the direction of the market trend, with the special emphasis on the influence of liquidity on the results. The results of the research contribute to the completion of the empirical research of the model CAPM and the beta coefficient, which have been published for the capital markets in the region. Dazzling growth of attractiveness of regional markets during that period has resulted in the equally intense downward trend in the crisis in 2008.
Keywords: the model CAPM; the beta coefficient; the expected return and risk; systematic risk; the market portfolio; the capital market in the countries in transition
THE STABILITY OF THE BETA COEFFICIENT FOR THE MOST LIQUID STOCKS IN THE CAPITAL MARKET IN SERBIA IN THE PERIOD 2006-2011
Milica Radović, Aleksandar Vasiljević
Abstract: In the previous five years in the period 2006-2011, the capital market in Serbia has had clearly three differentiated subperiods: strong increasing trend, strong downward trend and non-trend (the period of consolidation). The stability of the beta coefficient, depending on the direction of the market for the most liquid stocks, is researched in the study. The movement of the market portfolio presented by the general stock index of the Belgrade Stock Exchange, Belexline, the movement of the index of the most liquid stocks Belex15, and/or the stocks of the companies that constitute the index basket Belex15 is analysed for each direction. The beta coefficient, the correlation coefficient and the coefficient of determination for the stocks of individual companies and for the index Belex15 itself have been calculated by applying the regression analysis during the period of five years, as well as during the individual subperiods. The liquidity of stocks has individually been analysed. On the basis of the results, the evaluation of the stability of the beta coefficient has been performed, depending on the direction of the market trend, with the special emphasis on the influence of liquidity on the results. The results of the research contribute to the completion of the empirical research of the model CAPM and the beta coefficient, which have been published for the capital markets in the region. Dazzling growth of attractiveness of regional markets during that period has resulted in the equally intense downward trend in the crisis in 2008.
Keywords: the model CAPM; the beta coefficient; the expected return and risk; systematic risk; the market portfolio; the capital market in the countries in transition
