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Efficiency of the Market of Derivative Listed on the Warsaw Stock Exchange

100%
Slepaczuk R.
Ekonomia. Rynek, Gospodarka, Społeczeństwo
|
2004
|
issue 12
163-188
EN
The paper was aimed at verifying the efficiency (from the informational point of view in the weak form) for the WIG20 index units and futures contracts listed on the Warsaw Stock Exchange. The first stage of the research consisted in the optimization of parameters for selected TA (Technical Analysis) instruments and techniques (moving averages, oscillators, trend movement indices, and volume-based techniques) that, on the basis of past data, permitted to obtain the best results for the instruments being tested.Next, the obtained daily average and weekly return rates were compared with the results of the 'buy& hold'-type check strategy. The obtained results show that on the basis of a number of past time series it is possible to construct an investment strategy that may permit to achieve over-average incomes. In this connection, thinking about the correctness of the hypothesis of efficiency of the market in the weak form put forward by Eugene Fama, one can come to the conviction that, even not being able to deny this hypothesis, one still can, in the light of the presented results, strongly shake this conception. Besides, a detailed analysis of the parameters optimizing the purchase/sale signals based on the most popular TA instruments leads to the conclusion that, in the practice of the Polish market of futures contracts listed on the Warsaw Stock Exchange, the techniques and parameters departing from the standard ones foreseen by the authors of the given TA instruments have proved more effective than the latter.
2

Warsaw Stock Exchange and other European Stock Exchange Markets - Comparative Study

100%
Ostrowska E., Tomaszewska E.
Pieniądze i Więź
|
2007
|
vol. 10
|
issue 3(36)
64-69
EN
In the article the author compares Warsaw Stock Exchnage to other Stock Exchange markets in European Union. It is visible that Warsaw Stock Exchange keeps growing and that it has become the key element of national economy.
3

Polish Capital Market Prospects in the Context of Poland's Accession to European Union

63%
Ostrowska E.
Pieniądze i Więź
|
2006
|
vol. 9
|
issue 2-3(31-32)
54-60
EN
Although Polish capital market is much younger than West European capital markets, it is well equipped in modern technical infrastructure and its regulation does not differ from world standards. Nevertheless there are many inner and foreign factors determining further improvement of both quality and scale of Polish capital market development. It is necessary to identify these factors to enable full and effective growth of Warsaw Stock Exchange and therefore minimise existing threats and to maximise development opportunities. The threats and opportunities presented in the article should be constantly verified by people practically engaged in Stock Exchange activities.
4

ADVANTAGES AND DISADVATAGES OF FORMING PUBLIC COMPANIES

63%
Trzonkowski K.
Myśl Ekonomiczna i Prawna
|
2005
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issue 3(10)
159-171
EN
The paper describes advantages and disadvantages of forming public companies in the Polish reality and constitutes a manual for managers of companies intending to issue their shares publicly. The opinions presented here are based on the existing legal regulations which make companies verify their plans connected with raising capital through the public issue of shares. From the microeconomic point of view the Warsaw Stock Exchange plays an important role mainly for investors but also for the traded public companies. The development of the company, the rise in its sales and gained profits is possible in a long term only if the capital base is increased. The capital base is necessary for financing production properly, turnover assts, R & D schemes etc. If the rise is expected quickly the net profit as the source of financing is not sufficient. The method of raising funds is a critical problem. The issue of shares is only one of them and the company cannot expect satisfactory effects if it decides to issue shares in the situation where for example obtaining a bank loan would be a more appropriate way of increasing its capital base.
5

The Scenarios of Warsaw Stock Exchange Strategic Alliance with Another Western European Stock Exchange

51%
Antkiewicz S.
Pieniądze i Więź
|
2005
|
vol. 8
|
issue 4(29)
159-165
EN
The future of the Warsaw Stock Exchange is a subject of profound discussion in Poland. Warsaw Stock Exchange remained (till the middle of 2005) one of the few organised markets without private investor. Privatisation advisers are looking for the best solutions for the Warsaw Stock Exchange. It is the most important challenge to find private investor such as another European Stock Exchange with fully developed derivative market. The article presents the most important European derivative markets and draws optimal scenarios of the Warsaw Stock Exchange strategic alliance. One of the most suitable solutions is closer collaboration with German-Swiss centre or with one or two of the East European centres.
6
Content available remote

Wpływ płynności obrotu na kształtowanie się stopy zwrotu z akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie

51%
Gniadkowska A.
Zarządzanie i Finanse
|
2012
|
vol. 1
|
issue 1
563-570
EN
In paper we present the results of research concerning relations between spread and stock return on the Warsaw Stock Exchange (WSE). The evidence culled from WSE stock returns over the period 2004-2008 indicates that spread and other liquidity measures have significant and positive effect on stock return.
7

THE ECONOMIC SENTIMENT AND DIVIDEND POLICY IN POLAND (Wplyw nastrojow gospodarczych na decyzje o wyplatach dywidend przez spolki publiczne)

51%
Kowerski M.
Barometr Regionalny. Analizy i prognozy
|
2012
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issue 1(27)
13-27
EN
In previous research on determinants of company dividend-policy, a much higher significance was given to micro-economic factors describing the economic and financial situation of companies rather than to macro-economic factors. However, there is no analysis of the impact of economic sentiment on the dividend policy of companies. Moreover, companies do not operate in ‘a vacuum'. The economic situation in a certain country and even the global economic situation and its perception by entrepreneurs has a tremendous impact on their activities and decisions. To verify the hypothesis about the impact of economic sentiment on dividend policies of the companies listed on the Warsaw Stock Exchange in 1996-2009, logit pooled-regression models were applied. The dependent variable takes a value 1 if the company paid a cash dividend in year t and value 0 otherwise. As explanatory variables, we adopted the most common ones in this type of study, namely those describing the profitability, size, maturity, risk and investment opportunities as well as the dividend policy of the company in the year t - 1. Economic sentiment was measured using the Economic Sentiment Index, computed by the European Commission at monthly intervals. This allowed us to determine the period in which the changes in sentiment have the highest influence on dividend decisions. The estimated models allowed us to draw conclusions that apart from the economic and financial situation of a company in the year t - 1, dividend decisions made in year t are also affected by economic sentiment found in the Polish economy at the turn of the second quarter of year t. According to the Polish Code of Commercial Companies, it is understandable that the company should decide on the distribution of its profit within six months after the end of the business year. The research demonstrates, when making decisions, the boards of companies and shareholders take into account not only profits achieved in the previous year, but also the recent dividend and investment policy, and the current economic sentiment.
8

THE E. FAMA & K. FRENCH THREE-FACTOR MODEL FOR WARSAW STOCK EXCHANGE

51%
Kowerski M.
Przegląd Statystyczny
|
2008
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vol. 55
|
issue 4
131-148
EN
While applying Eugene Fama and Kenneth French methodology and using monthly time series data from July 1995 to June 2006, the parameters of three-factor model of excess returns for Warsaw Stock Exchange were estimated. Calculations confirmed the basie for this model assumption that the rate of return depends not only on the market (systematic) risk but also on the risk connected with the investments in stocks of smali firms and in stocks of underpriced by market firms with high ratio of book value to market value. Investors who risk to invest in smali firms and in underpriced by market companies can get higher rates of return than investors who buy the stocks of big, overpriced companies. Three-factor models, estimated for Warsaw Stock Exchange, are characterized by lower value of coefficient of determination in comparison with models estimated by Fama and French for New York stocks exchanges. This may result from several times lower number of companies used for the calculation of SMB and HML variables and the considerably shorter time series.
9

Stock Market Reactions to the Announcements and Executions of Stock-Splits and Reverse Stock-Splits

38%
Jamróz P., Koronkiewicz G.
Optimum. Studia Ekonomiczne
|
2013
|
issue 5(65)
34-50
EN
The aim of this paper is to analyze the stock market investors reactions to the events of announcement and execution of stock-splits and reverse stock-splits carried out on Warsaw Stock Exchange (WSE) during the period 2004-2012. The study puts the emphasis on the differences between market reactions to standard stocksplits and reverse stock-splits. The results presented in this paper are based on the methodology of event study. The studied data sample consists of 45 instances of stock-splits and 6 instances of reverse stock-splits that took place on WSE in the specified period of time. Results obtained suggest no statistically significant reaction to the events of: split announcement, split execution and reverse split execution and a statistically significant (mostly negative) reaction to the event of reverse split announcement. Although some anomalies can be observed on close inspection of the data, in general the obtained results can be interpreted as evidence of investors' rationality with regards to events connected with stock-splits on the WSE.
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