Analiza wybranych efektów sezonowości stóp zwrotu na przykładzie indeksu WIG w okresie 16.04.1991 - 30.06.2012

• Autorzy: Krzysztof Borowski

Warianty tytułu

Analysis of selected seasonal effects of rate returns on the example of the WIG index in the period 04.16.1991 - 30.06.2012

• Języki publikacji: PL

Abstrakty

Celem artykułu jest zbadanie występowania wybranych efektów sezonowości na Giełdzie Papierów Wartościowych w Warszawie, a w szczególności obliczenie średniej arytmetycznej i średniej geometrycznej stopy zwrotu z indeksu WIG w poszczególne dni tygodnia, dni miesiąca oraz we wszystkich miesiącach roku. Badania przeprowadzone zostały dla wartości zamknięcia indeksu WIG w okresie od 16.04.1991 do 30.06.2012 r. - tj. 4 859 obserwacji. (fragment tekstu)

EN

The paper includes research on the prevalence of selected effects of seasonality, market efficiency and anomalies on the Stock Exchange in Warsaw for his composition of the portfolio replicating the WIG index. Tests were conducted for the WIG index closing value in the period from 16.04.1991 to 30.06.2012 - i.e. based on 4859 observations. The results clearly indicate the occurrence of selected effects of seasonality on the Warsaw Stock Exchange. Some of the results confirm the findings of other authors, including the U.S. to study at New York Stock Exchange, while others are a characteristic feature of Polish stock market. (original abstract)

Słowa kluczowe

PL

Efektywność rynku; Rynki finansowe; Stopa zwrotu

EN

Market effectiveness; Financial markets; Rate of return

• Czasopismo: Finanse : czasopismo Komitetu Nauk o Finansach PAN
• Rocznik: 2013
• Numer: nr 1(6)
• Strony: 47--63

Twórcy

autor

Krzysztof Borowski

• Szkoła Główna Handlowa w Warszawie

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