Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 3 Managerial Economics

Years help

  1. 1 2017

  2. 1 2016

  3. 1 2015

Authors help

  1. 3 Suliga M.

Results found: 3

first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Content available remote

Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange

100%
Suliga M.
Managerial Economics
|
2017
|
vol. 18
|
issue 2
201-225
XX
This paper studies an impact of futures expiration days on the Polish equity market. From three potential expiration effects appearing in the literature (namely, the increased trading volume of underlying assets, increased volatility of their returns, and price reversal after expiration), the latest one is researched in detail for expiration days of futures on the WIG20 index, the mWIG40 index, and individual stocks. The data covers the period from January 2001 to December 2016. The phenomenon of price reversal is studied with the use of regression models, price reversal measures, and event study methodology. The results obtained for expiration days are compared with the results from non-expiration days to check whether potential price reversal can be interpreted as an effect of expiration. No price reversals after futures expirations were found in the returns of the WIG20 nor mWIG40 indexes. In the case of individual stocks, results from all of the three methods support the assumption that price reversal occurs after expiration. The reversal is immediate and is reflected inovernight returns more than in daily returns.
2
Content available remote

The reaction of investors to analyst recommendations of stocks listed on the WIG20 index

100%
Suliga M.
Managerial Economics
|
2016
|
vol. 17
|
issue 1
123-148
EN
Analyst recommendations are one of the types of information whose appearance on the market can have an influence on security prices. In this paper, I study the impact of analyst recommendations on stocks listed on the WIG20 Index, using event-study methodology and linearregression models. The dataset contains 576 absolute recommendations published from the1st January 2012 to the 1st of September 2015 by various analyst houses. The prefatory study researches price reaction to positive, neutral, and negative recommendations separately. Subsequently, to check if investor reaction depends on a change in the level of recommendation, corresponding research is repeated for events clustered in nine groups defined in terms of possible level changes. Linear regression models with categorical variables are used in searchof additional factors affecting investor reactions. Changes in the level of recommendation, size of the company, and reputation of brokerage house represent explanatory variables. Preliminary results point out that the direction of investor reaction is generally consistent with the information contained in the recommendation, and that the reaction of the market seems to be stronger in the case of positive events than in the case of negative ones. The analysis of recommendation changes reflects more-detailed dependents. In particular, the interpretation of a neutral recommendation depends strongly on the level of the previous recommendation. If it represents growth from SELL or REDUCE, the reaction is positive, while in the case of drop from ACCUMULATE or BUY, it leads to negative abnormal returns. This relationship is additionally confirmed by results from the linear regression models. The models show the size of the firm as a significant factor that has an influence on the reaction to a recommendation: the smaller the firm, the stronger the reaction.
3
Content available remote

Can the publication of annual financial reports become an opportunity for insider trading?

100%
Suliga M.
Managerial Economics
|
2015
|
vol. 16
|
issue 1
EN
Illegal insider trading is a problem that involves most of financial markets. Unusual abnormal returns as well as increased trading volumes observed ahead o price sensitive information can be signals of this type of market abuse behavior. In this paper, I study the occurrence of insider trading on the Warsaw Stock Exchange. I verify if publications of annual financial reports of WIG issuers can be preceded by this phenomenon. The study includes reports from the period between 1 January, 2010, and 29 May, 2014. In order to define abnormal returns, I suit the GARCH process to daily returns and use event-study analysis. Potential insider trading behaviors are found with the use of two-day cumulative abnormal returns in a first step and with the use of daily abnormal returns afterwards. The publications that are marked with potential informed price movements are analyzed for the presence of extremely high abnormal trading volumes, which can be additional signals of market abuse.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.