Rozkład Normalny Stóp Zwrotu Z Akcji Wchodzących W Skład Następujących Indeksów Giełdowych: Wig20, Mwig40 I Swig80

Borowski, Krzysztof

doi:10.22630/mibe.2017.18.4.50

Cited by 3 publications

(1 citation statement)

References 5 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The null hypothesis states that the empirical distribution is compatible with Pobrane z czasopisma Annales H -Oeconomia http://oeconomia.annales.umcs.pl Data: 04/01/2021 03:27:51 U M C S the normal one, while the alternative hypothesis states that the empirical distribution is not compatible with the normal one. The null hypothesis is rejected in favour of the alternative hypothesis when the p-value is less than α = 0.05, where the p-value constitutes a probability that the distribution is normal and the α refers to s significance level (Borowski, 2017). Even though the tests that were applied aimed to verify the same thing -namely, whether the distribution is normal -the p-values returned may be different due to the different methodologies used by each test (Czekaj, 2014).…”

Section: Methodsmentioning

confidence: 99%

The Changing Efficiency of the European Stock Markets

Karasiński

2020

View full text Add to dashboard Cite

<p>The purpose of this article is to examine how the weak-form efficiency of the European stock markets has changed over the years. The study focuses its attention not on answering the question if the markets were efficient but on explaining how efficiency evolved. With a process based on the random walk model proposed by Louis Bachelier in 1900 still commonly applied in this research, market efficiency was examined using three different tests of the normality of the distribution for the returns of 20 selected European stock market indexes. The tests were performed for each year and for additional two-year sub-periods during the 20-year research period (1999–2018). Moreover, the tests were run for one-, two-, three- and four-day returns’ intervals. The study allowed for a partial rejection of the research hypothesis, finding that on a long-term basis the efficiency of European stock markets tends to improve. Indeed, the results indicate that overall efficiency tended to improve but only since the end of the 2008 global financial crisis. From the very beginning of the research period until 2008, overall efficiency was shown to decrease.</p>

show abstract

Section: Methodsmentioning

confidence: 99%

The Changing Efficiency of the European Stock Markets

Karasiński

2020

View full text Add to dashboard Cite

show abstract

Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange

Karasiński¹,

Zduńczak²

2021

JEM

View full text Add to dashboard Cite

Aim/purpose–The aim of this paper is to verify whether extremely high values of mar-ket value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other.Design/methodology/approach–Following Bachelier’s strict random walk model, we quantified a weak-form informational market efficiency with the use of the percentage of normality tests in stock returns run (Expanded Shapiro–Wilk, D’Agostino-Pearson and Jarque–Bera), which indicate that the analyzed distribution is normal (a null hypothesis cannot be rejected). The empirical study was based on the comparison of the market value ratios (P/E and P/BV) and the informational efficiency measure at the level of particular companies, listed on the Main Market and NewConnect of the Warsaw Stock Exchange, and grouped into eight sectors. In order to do this, we analyzed scatterplots, descriptive statistics, Pearson’s and Spearman’s rank correlation coefficients. The da-taset covered 214 companies (based on the assumptions made) in the period from 2016, December 31 to 2020, March 23.Findings–Results obtained indicated that, in most cases, the extremely high values of market value ratios did not co-occur with market inefficiency. Hence, the outstandingly high market value ratios do not have to be the symptoms of market inefficiency. Research implications/limitations–Following a common belief shared in the industry, but still not examined yet, this study examines the possible co-occurrence of extremely high market valuation and market inefficiency, but does not exploit it fully. The authors encourage other researchers, especially, to apply other market value ratios and to come up with their own ideas for market efficiency proxies. What is more, this study has been conducted on a relatively small market, thus the conclusions drawn from the study on the WSE should be tested on other, more developed markets.Originality/value/contribution–According to the authors’ knowledge, this study is one of the first trying to examine if the extremely high market value ratios are the symp-toms of the informational inefficiency of the market.Keywords: efficient market hypothesis, weak-form efficiency, market value ratios, stock markets, random walk. JEL Classification:G10, G12, G14.

show abstract

The Impact of the COVID-19 Outbreak on the Weak-Form Informational Efficiency of the Warsaw Stock Exchange

Karasiński¹

2022

SiM WZ UW

View full text Add to dashboard Cite

The aim of this paper is to verify whether the COVID-19 outbreak negatively affected the weak-form informational efficiency of the Warsaw Stock Exchange (WSE). Applying a wild bootstrapped automatic variance ratio test and the rolling window methodology, we verify the martingale hypothesis for daily returns of 437 stocks listed on the Main Market of the WSE i n a research period beginning on January 2nd, 2015 and ending on August 31st, 2020. The percentage of cases in which the martingale hypothesis cannot be rejected is our proxy for the weak-form informational efficiency that we come up with. Despite the rapid and significant price movements, as well as the rise of returns volatility (and thus a likely herd behavior of the market participants), the results obtained do not allow for stating unambiguously that the COVID-19 outbreak negatively affected the weak-form informational efficiency of the WSE. The results turned out to be sector-dependent. Future issue-related studies can apply other proxies of efficiency levels as a unique proxy applied in this study is based only on a wild bootstrapped automatic variance ratio test. The issue-related studies should be also continued as the pandemic is still an ongoing issue. This study comes up with a novel approach to approximating the weak-form informational efficiency, provides regulators, as well as other market participants with valuable information on the WSE efficiency changes in the COVID-19 pandemic times and even its long-term trends.

show abstract

Rozkład Normalny Stóp Zwrotu Z Akcji Wchodzących W Skład Następujących Indeksów Giełdowych: Wig20, Mwig40 I Swig80

Abstract: The article verified the hypothesis regarding normal distribution of returns of shares - components of the following Warsaw Stock Exchange indexes Keywords: normal distribution, return rates, stock indices, ranking of companies

Cited by 3 publications

References 5 publications

The Changing Efficiency of the European Stock Markets

The Changing Efficiency of the European Stock Markets

Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange

The Impact of the COVID-19 Outbreak on the Weak-Form Informational Efficiency of the Warsaw Stock Exchange

Contact Info

Product

Resources

About