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Efektywność rynku "futures" a możliwość jego prognozowania na przykładzie kontraktów "Futures" na WIG20

100%
Kusideł E., Rychter M., Łódzki U.
Acta Universitatis Lodziensis. Folia Oeconomica
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2003
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vol. 166
EN
It is very possible that the Polish futures stock market is effective because it is liquid and many small investors assess the information coming from the market. There are some important results after researches on the effectiveness of the futures WIG20 basing on which one may come to the conclusion that in eleven on twelve contracts the semi-strong form was observed. The semi-strong form was not observed in contract that was not effective in a weak form. There are many methods of testing the effectiveness of the market. Authors tested the weak form of effectiveness using the classical test on the return-rates autocorrelation. The semi-strong one was tested by the impulse response method and it is a new one in a methodology. We used the appearing information as a new impulse. Having such results we can come to the conclusion that there is no sense in constructing the model for prognostic uses and to receive higher than average rale of return if the market is effective. In this way there is no sense to construct such a model in futures WIG20 market.
PL
W artykule podjęto badania nad formami efektywności kontraktów na W1G20. Na szczególną uwagę zasługuje badanie średniej (półmocnej) formy efektywności, którą weryfikuje się za pomocą tzw. funkcji odpowiedzi na impuls - IRF (Impulse Response Function). Na rynku efektywnym ceny powinny reagować natychmiast po pojawieniu się nowej informacji (publicznie dostępnej - w przypadku średniej formy efektywności). Wartości IRF pozwalają na stwierdzenie, jak szybko taka informacja jest dyskontowana przez rynek i inwestorów. Przeprowadzone badania pokazały, że zaproponowane narzędzie - IRF - jest adekwatne i może stanowić ciekawą propozycję testowania efektywności rynku.
2
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Efekt kapitalizacji na Giełdzie Papierów Wartościowych w Warszawie

100%
Wolski R., Rychter M., Uniwersytet Łódzki K. E. P. i. R. K.
Acta Universitatis Lodziensis. Folia Oeconomica
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2009
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vol. 226
EN
This article is providing the analysis of the rate of return basing on the Warsaw Stock Exchange Market according to some anomalies like small companies rate of return that is higher on average than investment in shares with the large capitalization. Basing on the analysis done in this paper one can come to the conclusion that the small capitalization effect doesn't exist on Polish market when 1996-2006 period is being analyzed yet this anomaly was observed in 1996-2001 period when the market was less efficient.
3
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Wpływ ekonomicznej wartości dodanej (EVA) na rynkową wartość dodaną (MVA)

81%
Rychter M., Kacprzyk M., Wolski R., Łódzki U.
Acta Universitatis Lodziensis. Folia Oeconomica
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2009
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vol. 226
EN
This paper is providing the studies on Economic Value Added EVA and Market Value Added МVА. MVA was calculated using three different methods. Moreover, authors tried to find out the relationship between EVA and MVA and MVA and net income. Using yearly data for 22 companies the relationship was not found both for EVA and MVA, and MVA and net income.
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