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Market Index Specification and Estimation of Risk on the Brussels Stock Exchange

Published online by Cambridge University Press:  17 August 2016

Albert Corhay
Albert Corhay*
Affiliation:
Université de Liège, Rijsksuniversiteit Limburg
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Abstract

This paper demonstrates that the level of autocorrelation in the market index returns of the Brussels Stock Exchange depends on the number of securities which make up the index as well as their price adjustment delay. It also shows that the value of the systematic risk depends on both the choice of an index and the length of the differencing interval used to calculate the returns. Furthermore it highlights the fact that autocorrelation coefficients and systematic risk coefficients also exhibit seasonal fluctuations.

Cet article démontre que le degré d’autocorrelation dans les rendements des indices de marché de la Bourse de Bruxelles dépend du nombre de titres qui interviennent dans le calcul de ces indices ainsi que du délai d’ajustement du prix de ces titres à toute nouvelle information. Il examine également la relation entre la valeur du risque systématique, le choix d’un indice de marché et la longueur de l’intervalle utilisé pour calculer les rendements. De plus, les résultats obtenus révèlent l’existence de fluctuations saisonnières dans les coefficients d’autocorrelation et la valeur des coefficients betas.

Keywords

211313522211313522
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 1 , 1992 , pp. 85 - 107
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

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