The Efficiency of the Warsaw Stock Exchange : the First Few Years 1991-1996

• Autorzy: Fred P. Wheeler , Bill Neale , Tadeusz Kowalski , Steve R. Letza
• Języki publikacji: EN

Abstrakty

EN

This paper reports a test of the changing pricing efficiency of the first stage of development of the Warsaw Stock Exchange (WSE). Emerging stock markets are unlikely to be fully information-efficient, partly due to institutional rigidities which restrict information flows to the market and partly for lack of experienced market participants to rapidly impound new information into security prices. Tests for runs and autocorrelation were conducted for the 1991-1996 trading history of the WSE and also to segmented sub-periods during which different institutional arrangements applied. As the number of trading days per week increased, the general level of efficiency, although low, steadily improved (except for the "bubble" period of 1993-1994). Inefficiencies persist in some stocks, possibly explained by opportunities to conduct off-market, out-of-hours transactions in specific stocks, and the stock exchange authorities' continuing power to suspend trading. (original abstract)

Słowa kluczowe

EN

Stock market; Stock exchange analysis; Warsaw Stock Exchange Index

PL

Giełda papierów wartościowych; Analiza giełdowa; Warszawski Indeks Giełdowy (WIG)

• Czasopismo: The Poznań University of Economics Review
• Rocznik: 2002
• Tom: 2
• Numer: nr 2
• Strony: 37--58

Twórcy

autor

Fred P. Wheeler

• University of Bradford, United Kingdom

autor

Bill Neale

• Bournemouth University

autor

Tadeusz Kowalski

• Poznań University of Economics, Poland

autor

Steve R. Letza

• Leeds Metropolitan University

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