TESTING MARKET EFFICIENCY: EMPIRICAL INVESTIGATION OF POLISH CAPITAL MARKET

被引：0
|
作者：
Zebrowska-Suchodolska, Dorota [1 ]
Mentel, Grzegorz [2 ]
机构：
[1] Warsaw Univ Life Sci, Fac Appl Informat & Math, Dept Econometr & Stat, Nowoursynowska 159, PL-02776 Warsaw, Poland
[2] Rzeszow Univ Technol, Fac Management, Dept Quantitat Methods, Powstancow Warszawy 12, PL-35959 Rzeszow, Poland
来源：
INTERNATIONAL JOURNAL OF BUSINESS AND SOCIETY | 2018年 / 19卷 / 03期
关键词：
Weak form of efficiency; Autocreation test; Series test; Variance ratio test;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of the work is to verify the hypothesis of a weak form of efficiency of the Polish capital market using the autocorrelation test, series and variance ratio test. The research was conducted for the entire market representing the Warsaw Stock Exchange (using the WIG index covering all companies listed on the Main Market of the Warsaw Stock Exchange) and selected sector sub-indices of the WIG index calculated by the stock exchange. The analyzes were based on the daily logarithmic rates of return for data from the 2010-2016 period, which was divided into three sub-periods. The results indicate a weak form of market efficiency and cases of inefficiencies in its sectors.
引用
收藏
页码：699 / 708
页数：10
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