Index of Central and East European Securities Quoted at Warsaw Stock Exchange - WIG-CEE
After 20 years of transition in Central and Eastern Europe (CEE) the capital markets are considered to be emerging markets and they are still developing. In the last few years, the Warsaw Stock Exchange achieved the first position in the CEE region by the number of listed companies, the value of shares turnover and by the value of market capitalization. Because of the growing number of listed foreign companies from the CEE countries the Warsaw Stock Exchange decided to launch the first regional index. The aim of this paper is to describe the index construction and to investigate its properties through the application of statistical methods. (original abstract)
- Amenc, N. Goltz, F. Le Sourd, V. (2006). Assessing the Quality of Stock Market Indices. EDHEC Publication Lille-Nice.
- Blanchard O. (1997) Macroeconomics, Prentice Hall, Upper Sadle River.
- Broby, D. P. (2007) A Guide to Equity Index Construction. Risk Books, London.
- Broby, D. (2011) Equity Index Construction, The Journal of Index Investing, Fall 2011. Vol. 2, No. 2: pp. 36-39
- Fama E. F. (1970) Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, pp. 383 - 417
- Kompa, K. Wiśniewski T. (2012) The First Index of Warsaw Stock Exchange for Central and East European Securities - WIG-CEE, paper presented at 73rd International Atlantic Economic Conference in Istanbul (draft under reviewing procedure).
- Syriopoulos, T. (2007) Dynamic Linkages between Emerging European and Developed Stock Markets: Has the EMU any Impact?, International Review of Financial Analysis, 16, pp. 41-60.