Zawartość informacyjna transakcji pakietowych akcjami na przykładzie rynku głównego Giełdy Papierów Wartościowych w Warszawie

• Autorzy: Bartosz Kurek

Warianty tytułu

The Information Content of Equity Block Trades on the Example of the Main Market of the Warsaw Stock Exchange

• Języki publikacji: PL

Abstrakty

Przedmiotem rozważań zawartych w monografii są rzadko występujące transakcje pakietowe akcjami. Celem głównym monografii jest poznanie prawidłowości zachowania się rynku kapitałowego wskutek transakcji pakietowych akcjami z wykorzystaniem literatury przedmiotu i określenia metodologii badania reakcji rynku na te zdarzenia. Podstawowa egzemplifikacja badań empirycznych dotyczy transakcji pakietowych akcjami notowanymi na rynku głównym Giełdy Papierów Wartościowych w Warszawie. (fragment tekstu)

EN

The term capital is a fundamental concept in economics. It is an abstract notion which should be expressed mathematically through its measurement. The use of different sets of information by three significant measurements of capital - balance sheet valuation, market valuation and equity block trade valuation - leads to varying outcomes with each valuation serving different purposes. The main aim of the monograph is to investigate the mechanisms governing the behaviour of the capital market as a response to equity block trades (EBTs). The exemplification of empirical studies relates to EBTs on the main market of the WSE. A population of 27,281 block trades was drawn front 1501 editions of the Official Quotation of Warsaw Stock Exchange starting on April 1.2009 and ending on March 31. 2015. After applying rigorous selection criteria, 315 EBTs were chosen. The sample comprises 130 buyer- and 185 seller-initiated EBTs. The main research hypothesis is that unexpected EBT on the WSE's main market is a value-relevant event. The monograph comprises an introduction, four primary chapters and a summary together with proposed directions for further studies. Chapter 1 presents controversies around the understanding of the notion of capital. Three valuations of capital are specified: balance sheet, market and EBT. WSE regulations on EBTs are analysed and a definition of EBT is proposed. Chapter 2 describes the concept of informational efficiency of capital markets and event study methodology. The definition of an event is proposed. Chapter 3 reviews the international and national literature on large transactions. Chapter 4 contains an empirical analysis. Nine supporting research hypotheses stemming from the main research hypothesis are investigated. In the sample, the number of seller-initiated EBTs is greater than the number of buyer-initiated ones. Buyer-initiated EBTs are associated with statistically significant positive AEs on the event day, while the opposite holds for seller-initiated EBTs - they are associated with statistically significant negative ARs on the event day. All EBTs are associated with statistically significant positive ARs on the post-event day. On the pre-event day, EBTs are not associated with statistically significant ARs. Statistically significant ARs are not observed after the post- -event day. The deviation of EBT transaction price from the market price is associated with a market reaction only in the case of buyer-initiated EBTs. The volume of EBTs is not associated with a market reaction. Only in the case of buyer-initiated EBTs is the type of market associated with a market reaction. Unlike with seller-initiated EBTs, in the case of buyer-initiated EBTs, statistically significant abnormal volumes are not observed on the event day or on the post-event day. Significant conclusions stem from the research. Buyer- and seller-initiated EBTs are value-relevant events during the event day and the post-event day. However, considering these two days jointly, only the buyer-initiated EBTs are value relevant events, whereas seller-initiated EBTs are not value relevant events anymore. This is the essence of the asymmetric reaction of the market for these two categories of EBTs. This in turn leads to the inference that even though both groups of EBTs contain value-relevant information leading to a market reaction during the event day and during the post-event day separately, equity block trade valuation should be the third measurement - relevant for owners and other stakeholders - of capital only in the case of the buyer-initiated EBTs(original abstract)

Słowa kluczowe

PL

Transakcje giełdowe; Rynek kapitałowy; Efektywność informacji; Badania empiryczne; Wyniki badań

EN

Stock exchange dealings; Capital market; Information effectiveness; Empirical researches; Research results

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Krakowie. Seria Specjalna, Monografie
• Rocznik: 2017
• Numer: nr 250
• Strony: 262

Twórcy

autor

Bartosz Kurek

• Uniwersytet Ekonomiczny w Krakowie

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