BFS 2002

Contributed Talk

This paper presents the results of stability tests for alpha and beta coefficients over bull and bear market conditions for a sample of stocks traded in the Athens Stock Exchange. Our daily data cover the period July 1998 to June 2000, which splits in two sub-periods: one bullish (July 1998 to midst September 1999) and one bearish (midst September 1999 to June 2000). The tests are based in two alternative models: the Single Index Market Model (SIMM) and a modified version which introduces a binary (dummy) variable which accounts for the bullish period. Our results show that the vast majority of the shares examined have greater values of their beta coefficients in the period of the declining market and smaller betas during the market up trend. Also, the majority of stocks appear to have beta values below one during bullish market conditions and above one when the market is bearish.