Economics and Business Review

ISSN 2392-1641
e-ISSN 2450-0097

Poznań University of Economics - Poland

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Volume 2 Number 2 pp. 37-58

Fred P. Wheeler, Bill Neale, Tadeusz Kowalski, Steve R. Letza

University of Bradford, United Kingdom

The efficiency of the Warsaw Stock Exchange : the first few years 1991-1996

Abstract: This paper reports a test of the changing pricing efficiency of the first stage of development of the Warsaw Stock Exchange (WSE). Emerging stock markets are unlikely to be fully information-efficient, partly due to institutional rigidities which restrict information flows to the market and partly for lack of experienced market participants to rapidly impound new information into security prices. Tests for runs and autocorrelation were conducted for the 1991-1996 trading history of the WSE and also to segmented sub-periods during which different institutional arrangements applied. As the number of trading days per week increased, the general level of efficiency, although low, steadily improved (except for the "bubble" period of 1993-1994). Inefficiencies persist in some stocks, possibly explained by opportunities to conduct off-market, out-of-hours transactions in specific stocks, and the stock exchange authorities' continuing power to suspend trading. (original abstract)
pub/2002_2_37.pdf Full text available in in Adobe Acrobat format:
http://www.ebr.edu.pl/volume2/issue2/2002_2_37.pdf
Keywords: Stock market, Stock exchange analysis, Warsaw Stock Exchange Index, Giełda papierów wartościowych, Analiza giełdowa, Warszawski Indeks Giełdowy (WIG)

For citation:

MLA Wheeler, Fred P., et al. "The efficiency of the Warsaw Stock Exchange : the first few years 1991-1996." Economics and Business Review EBR 2.2 (): 37-58.
APA , (). The efficiency of the Warsaw Stock Exchange : the first few years 1991-1996. Economics and Business Review EBR 2(2), 37-58
ISO 690 WHEELER, Fred P., et al. The efficiency of the Warsaw Stock Exchange : the first few years 1991-1996. Economics and Business Review EBR, , 2.2: 37-58.