Testing the Stability of Systematic Risk Coefficient of the Stocks Listed in Damascus Securities Exchange


Abstract in English

The objective of this research is to test the stability of systematic risk coefficients of stocks listed on the Damascus Securities Exchange through the period (4/1/2010 – 28/10/2013), and therefore the ability to use the values of these coefficients to calculate the required rate of return on investment in the individual stocks and portfolios. The data related to the closed prices of stocks and market index were collected from the website of DSE, which is used to estimate the values of systematic risk (Beta). Then the researcher has tested the stability of the coefficients throughout the entire period and the three sub-periods each one consists of five yearly quarters by using the time as a variable in the regression model, and by testing the significance of the coefficient of time variable. The results of the research show that greater than 80% of these coefficients were insignificant, that is, the higher percentage of stocks have a stable Beta, and can be used to calculate the required rate of return on investment, therefore suitable investment decisions may be made upon these results.

References used

BODIE, ZVI, ALEX KANE, and ALEN J. MARCUS, "Essentials of Investments, 5 th edition, Mc Graw Hill, 2003
DAS, SROMON, " Testing the Stability of Beta Over Market Phases, An Empirical Study in the Indian Context", Working Paper, India, New Delhi, 2008
DAVES, PHILLIP R., MICHAEL C. EHRHARDT and ROBERT A. KUNKEL, "Estimating Systematic Risk: The Choice of Return Interval and Estimation Period", Journal of Financial and Strategic Decisions, Vol. 13, No. 1, 2000, PP. 7-13
GOZDE, ALTINSOY, "Time Varying Beta Estimation for Turkish Real Estate Investment Trusts: An Analysis of Alternative Modeling Technique", Master Thesis, Middle East Technical University, Turkey, 2009
IRALA, LOKANADHA REDDY, "Stationarity and Regression Tendencies of Security and Portfolio Betas in India", Working Paper No. 2007/02/A, Dhruva College of Management, 2007

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