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Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties

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  • Krzysztof Kompa
  • Aleksandra Matuszewska-Janica

Abstract

The Warsaw Stock Exchange (WSE) has been operating in present form for 15 years. WSE is regarded as an “emerging market”. We can observe that it is still developing (in order to become “developed market”). The level of development is often analyzed with reference to the efficiency of the market. We can say that the capital market is efficient if the prices at the market fully reflect all available information. The aim of the presented research is to analyze the current situation at the Warsaw Stock Exchange. Particularly we investigate the weak form of efficiency using selected statistical tests. The research is based on actual data concerning daily observations of shares at the Warsaw Stock Exchange transformed to the logarithmic rates of return, considering the period 2000–2006 and subperiods: the bear market, stagnation and the bull market. Copyright International Atlantic Economic Society 2009

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  • Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2009. "Efficiency of the Warsaw Stock Exchange: Analysis of Selected Properties," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 59-70, February.
    • Handle: RePEc:kap:iaecre:v:15:y:2009:i:1:p:59-70:10.1007/s11294-008-9180-9
    DOI: 10.1007/s11294-008-9180-9
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    References listed on IDEAS

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    Cited by:

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    2. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
    3. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.

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    More about this item

    Keywords

    Warsaw Stock Exchange; Weak form of capital market efficiency; Runs test; Variance ratio test; C10; G10;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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