The Warsaw Stock Exchange: A Test of Market Efficiency

Gordon, Barry; Rittenberg, Libby

doi:10.1057/ces.1995.7

Cited by 20 publications

(11 citation statements)

References 2 publications

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“…This is of course similar to the`herd' instinct explanation of investor behaviour. Recent evidence of the role of investor psychology in financial markets is documented by Gordon and Rittenburg (1995).…”

Section: Resultsmentioning

confidence: 99%

Discussion of Microstructure and Seasonality in the UK Equity Market

Coutts

1997

Business Fin & Account

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Since the pioneering works of Fama (1965) and Cross (1973) there have been many anomalies documented concerning the behaviour of security price returns: one of the most prevalent of these being the`January' or`turn-of-year' effect, where returns are much higher during the month of January than in any other month. Lakonishok and Smidt (1988) note that this anomaly has existed for over half a century and has led some financial economists to question the notion of market efficiency and in particular asset pricing models. Lakonishok and Smidt (1988) further suggest that scepticism concerning security price regularities or seasonalities are likely to persist until confirmatory evidence is provided from different data sets over different periods of time. As Mills and Coutts (1995) document, although a wide body of evidence exists for the US markets, relatively little empirical research has been undertaken on regularities using UK data. 1 This is clearly a major shortcoming in the`anomalies' literature, for as Bowers and Dimson (1988) suggest, international comparisons enable researchers to investigate whether factors that are supposedly important in the US, for example, are also important in other countries. 2 Such comparisons are particularly useful because security price regularities and their causes could be specific to individual market micro-structures and economies, and thus an assessment of their persistence across markets is very useful. 3 It is in this context that Draper and Paudyal (1997) present the results of their investigation of the impact of alternative company year-ends on returns, as well as seasonality in bid-ask spreads and trading activity variables, including volume, number and size of trades. Consequently, this makes their study somewhat unique, for as they correctly state:Studies of the UK market are limited and have concentrated on the analysis of stock returns. This paper explores the impact of seasonality on variables including returns within the very different UK tax and equity trading systems. This study varies from existing UK studies in several respects. The current system of market making introduced in October 1986 differs significantly from the previous system. Studies based on experience prior to 1986 do not represent the current system whilst studies

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Section: Resultsmentioning

confidence: 99%

Discussion of Microstructure and Seasonality in the UK Equity Market

Coutts

1997

Business Fin & Account

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“…For example, for the WSE, the attempts of a``promotion and information'' programme undertaken by the WSE in 1992 and 1993 to increase the awareness and understanding of investors was just one initial step in the right direction. Surveys carried out on investor demographics in November 1993, by the Polish polling agency Demoskop (see Gordon and Rittenberg, 1995), show that 28 per cent of the investors are between the ages of 18 and 27, and that only 21 per cent have high school education. They report from interviews with two WSE o¤cials that``new investors .…”

Section: Discussionmentioning

confidence: 99%

Stock Return Volatility on Emerging Eastern European Markets

Shields

1997

The Manchester School

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A common ¢nding for developed stock markets is that negative shocks entering the market lead to a larger return volatility than positive shocks of a similar magnitude. We consider two emerging Eastern European markets where the ¢rst point of investigation is whether an analogous asymmetric characteristic is re£ected in emerging markets. The second point of investigation is whether the ¢ndings di¡er depending on the institutional microstructure of the exchange being examined. Hence, econometric techniques are adjusted and a``doublecensored Tobit GARCH'' model is developed. We ¢nd that no asymmetry exists on either emerging market but asymmetry does exist for a stock return series on the developed market; possible reasons for this are proposed.

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“…This study can be used to motivate subsequent studies of information content, controlling for specific events that might trigger trades driven purely by investor psychology. Gordon and Rittenberg (1995) analyzed the behavior of Polish investors in light of the efficient market hypothesis (EMH). They argued that the current regulations, including pricing limits and reduction orders, inhibit Polish stock prices from truly reflecting changes in information.…”

Section: Appendixmentioning

confidence: 99%

Information Content of Earnings in the Emerging Capital Market: Evidence from the Warsaw Stock Exchange

Jermakowicz¹,

Gornik–Tomaszewski²

1998

MFJ

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This article investigates the association between stock returns and the annual earnings, derived from the new accounting and reporting standards, of firms listed on the Warsaw Stock Exchange between 1995 and 1997. Following a brief history of the Warsaw Stock Exchange, two major issues affecting the effectiveness of the Polish securities market are discussed. These are the transition process from public to private enterprise ownership, and the development of accounting and reporting standards compatible with the capital market requirements and the European Union regulation. The empirical results indicate a significant association between stock returns and annual earnings. Results are compared with those for more developed capital markets.

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The Warsaw Stock Exchange: A Test of Market Efficiency

Cited by 20 publications

References 2 publications

Discussion of Microstructure and Seasonality in the UK Equity Market

Discussion of Microstructure and Seasonality in the UK Equity Market

Stock Return Volatility on Emerging Eastern European Markets

Information Content of Earnings in the Emerging Capital Market: Evidence from the Warsaw Stock Exchange

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