Pomiar szybkości dostosowania ceny papieru wartościowego do zmian w zbiorze informacji rynkowych na przykładzie spółek z GPW w Warszawie S.A.

• Authors: Joanna Olbryś

Title variants

EN

Measuring of Equity Prices Adjustment Delay to New Information in the Warsaw Stock Exchange

• Languages of publication: PL

Abstracts

EN

In the literature, price adjustment delay is treated as one of the consequences of market frictions. The problem was probably first defined in (Fama, Fisher, Jensen, Roll, 1969), where the authors dealt with adjustment delay of asset prices to new information. Fama (1970) used the notion of price adjustment delay in the context of the semi-strong form of the Efficient Market Hypothesis (EMH). Chordia and Swaminathan (2000) proposed a measure of equity prices adjustment delay to information. To incorporate the nonsynchronous trading effect into the measure, they employed Dimson's (1979) beta regression procedure. The main goal of this paper is to investigate the problem of asset prices adjustment delay in the case of stocks from the Warsaw Stock Exchange, in the period Jan 2007-Dec 2012.

Keywords

PL

Akcje; Giełda papierów wartościowych; Rynek kapitałowy

EN

Capital market; Shares; Stock market

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 163
• Pages: 85-98

Contributors

author

Joanna Olbryś

References

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Identifiers

ISSN

2083-8611