The Warsaw Stock Exchange in the period 1991–1993. Qualitative problems of its modelling

Abstract

The paper focuses on the analysis of return on shares quoted on the Warsaw Stock Exchange (WSE) in the period 1991-1993. We found that the WSE specific institutional background resulted in a large variation of return rates, their distributional assymetry and truncations which make hypotheses testing procedures about criteria of investors' choice and the price setting mechanism more complicated.

Switching Volatility in Emerging Stock Markets: Evidence from the New EU Member Countries

“…This period seems to be associated with the increased instability observed in the emerging CEE stock markets during the first years after the transition. As for the case of Hungary, the low volatility in the first years of the period examined is not surprising, since the BUX index did not present (see Figure 1) In Poland, the initial period of high volatility in 1993-1995 seems to be associated with the burst of the speculative bubble, which according to Bolt and Milobedzki (1994) was caused by the change in the monetary policy implemented by 20 Estonian stock returns switched to the high volatility state only for few weeks at the end of 1999 (EU confirmed Estonia as a tier-one candidate),in the fall of 2001 (11 th September terrorist attacks in US) and in September 2003 (Estonians vote overwhelmingly to join the European Union in a referendum). 21 The high volatility regime in 1994 and also 1996 coincides with the start of the privatization of the banking sector and the dramatic increase in foreign direct investments respectively.…”

Trading on the Warsaw stock exchange—from reopening in 1991–2000

“…This period of growth was followed by a rapid decline in the index, ending at approximately 5300. Bolt and Milobedzki (1994) suggested that the speculative bubble began in April 1993 and was caused by the National Bank of Poland shifting monetary policy. The shift in policy substantially reduced interest rates which made investments on the WSE very attractive.…”

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

“…W przypadku badań poświęconych rynkowi polskiemu Bołt i Miłobędzki [Bołt, Miłobędzki 1994], analizując stopy zwrotu dla indeksu WIG oraz 21 akcji notowanych na GPW w okresie 1991-1993, doszli do wniosku, że w przeważającej mierze nie są to rozkłady normalne. Z kolei Fiszeder [Fiszeder 2000] przeprowadził badanie rozkładu stóp zwrotu indeksu WIG oraz 12 innych indeksów światowych w okresie 02.…”