2014 | 177 | 152-167
Article title

Efektywność informacyjna a zachowanie cen akcji tworzących indeks WIG20

Title variants
Behavior of WIG20 Index Components Prices from Efficient Capital Markets Theorist Viewpoint
Languages of publication
This article deals with problem of informational efficiency of capital markets. In the first part theory of efficient capital markets created by Eugene Fama is described. The evolution of efficient capital market definition is presented and a new one is introduced. In the next part of the article proper null hypothesis is constructed and methods used to verify it are discussed. Author presents three groups of verification techniques: tests of autocorrelation, tests of randomness and unit root tests. In the third part of the text results of these statistical tests applied to prices of shares included in WIG20 index and values of this index as well are described. In the last part of article economic consequences for investors are presented.
Physical description
  • L. Bachelier: Theory of Speculation. In: The Random Character of Stock Market Prices. Ed. P. Cootner. The MIT Press, Cambridge 1964, s. 17.
  • L. Bachelier: Théorie de la Spéculation. "Annales Scientifiques de l' École Normale Supérieure" 1900, 3e série, tome 17.
  • E. Fama: Efficient Capital Markets: A Review of Theory and Empirical Work. "The Journal of Finance" May 1970, Vol. 25, No. 2, s. 383.
  • M. Blaug: Teoria ekonomii. Ujęcie retrospektywne. Wydawnictwo Naukowe PWN, Warszawa 1994, s. 699.
  • E. Fama: Efficient Capital Markets: Reply. "The Journal of Finance" March 1976, Vol. 31, No. 1, s. 143.
  • E. Fama: Efficient Capital Markets: II. "The Journal of Finance" December 1991, Vol. 46, No. 5, s. 1575.
  • S. Buczek: Efektywność informacyjna rynków akcji. Teoria a rzeczywistość. SGH, Warszawa 2005, s. 14.
  • R. Hagerman, R. Richmond: Random Walks, Martingales and the OTC. "The Journal of Finance" September 1973, Vol. 28, No. 4, s. 898.
  • J. Campbell, A. Lo, C. MacKinlay: The Econometrics of Financial Markets. Princeton University Press, Princeton 1997, s. 47.
  • A. Cowles, H. Jones: Some a Posteriori Probabilities in Stock Market Action. "Econometrica" July 1937, Vol. 5, No. 3 , s. 281.
  • Cz. Domański: Testy statystyczne. PWE, Warszawa 1990, s. 26-38, 64-67.
  • D. Kwiatkowski, P. Phillips, P. Schmidt, Y. Shin: Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. "Journal of Econometrics" 1992, Vol. 54, s. 166.
  • J. Jung, R. Shiller: One Simple Test of Samuelson's Dictum for the U.S. Stock Market. (27.09.2009), s. 3.
  • F. Jen: Random Walks and Technical Theories: Some Additional Evidence: Discussion. "Journal of Finance" May 1970, Vol. 25, s. 496.
  • P. Zielonka: Czym są finanse behawioralne, czyli krótkie wprowadzenie do psychologii rynków finansowych. "Materiały i Studia", z. 158, NBP, Warszawa 2003, s. 11.
  • P. Zielonka: O przewidywaniu cen akcji. Od analizy fundamentalnej do finansów behawioralnych. "Materiały i Studia", z. 105, NBP, Warszawa 2000, s. 20.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.