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The Warsaw Stock Exchange: A Test of Market Efficiency

Author

Listed:
  • Barry Gordon
  • Libby Rittenberg

Abstract

This paper analyzes the behavior of the Warsaw Stock Exchange in light of the efficient market hypothesis (EMH) and alternative models of market inefficiency. Following a brief history of the Warsaw Stock Exchange and a discussion of EMH and the Shiller (1991) critique, the Polish stock market is examined in terms of the extent to which the assumptions of EMH are met and in terms of the actual behavior of stock prices for the period of 1 June 1993 to 27 July 1994. The analysis suggests that EMH provides an inadequate explanation of investor behavior and its effect on stock price volatility in this emerging market.

Suggested Citation

  • Barry Gordon & Libby Rittenberg, 1995. "The Warsaw Stock Exchange: A Test of Market Efficiency," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 37(2), pages 1-27, July.
    • Handle: RePEc:pal:compes:v:37:y:1995:i:2:p:1-27
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    Citations

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    Cited by:

    1. Bogdan Dima & Laura Raisa MiloÅŸ, 2009. "Testing The Efficiency Market Hypothesis For The Romanian Stock Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-41.
    2. Kalvinder Shields, 1997. "Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2), pages 107-125, May.
    3. Eva K. Jermakowicz & Sylwia Gornik-Tomaszewski, 1998. "Information Content of Earnings in the Emerging Capital Market: Evidence from the Warsaw Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(4), pages 245-267, December.
    4. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 329-344.
    5. Amin Aminimehr & Ali Raoofi & Akbar Aminimehr & Amirhossein Aminimehr, 2022. "A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 781-815, August.
    6. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
    7. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
    8. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
    9. Dobija, Dorota & Klimczak, Karol Marek, 2010. "Development of accounting in Poland: Market efficiency and the value relevance of reported earnings," The International Journal of Accounting, Elsevier, vol. 45(3), pages 356-374, September.

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