Search results

1

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

100%

Jamróz P., Koronkiewicz G.

Studies in Logic, Grammar and Rhetoric

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2014

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vol. 37

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issue 1

71-88

EN

The aim of this paper is to analyze the occurrence of the so called day of the week effects in market return time series from the period of January 2003 to September 2013 (and additionally January 1999 to December 2002). The study focuses on four indices of the Warsaw Stock Exchange (WIG, WIG20, mWIG40 and sWIG80) and additionally five indices of major world stock exchanges (NIKKEI 225, DAX, CAC40, S&P 500, and IBEX). The main data sample was divided into three subperiods in order to determine whether or not the intensity of day of the week anomalies is constant in time. The study revealed a substantial number of the day of the week anomalies in earliest subperiods and very limited evidence of those effects in later ones, giving rise to the conclusion that the intensity of the day of the week anomalies is diminishing with time. The most common effect identified on the WSE was a positive Friday effect. The Monday effect often described in early literature on the subject matter seems to currently occur very rarely. The study also indicates that the day of the week effects were more persistent among stocks with smaller market capitalization on the WSE.

2

Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets

100%

Bolek M., Gniadkowska - Szymańska A., Lyroudi K.

Central European Economic Journal

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2022

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vol. 9

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issue 56

158-177

EN

This paper aims to discuss market efficiency due to the changes that appeared in this field after the COVID-19 outburst. The OMX exchange and its indices are taken into consideration because they represent markets not analysed in such a context before (a) Baltic: Estonia, Latvia and Lithuania; (b) Scandinavian: Denmark, Finland, Iceland, Norway and Sweden). Two periods before and during the COVID-19 pandemic are considered (January 2009 to January 2020 and February 2020 to February 2021), and the efficient market hypothesis is tested together with the day-of-a-week effect anomaly to recognize the differences in market efficiency that could appear under special conditions, such as a pandemic. The results indicated that the impact of this pandemic on market efficiency was positive in most of the OMX markets studied. The added value of the article is related to supplementing the theory of market efficiency and showing that in difficult times investors make more rational decisions.

3

Strategies of Investing in the Construction Sector Based on Market Anomalies Occurring at Warsaw Stock Exchange

100%

Kutryb T.

Olsztyn Economic Journal

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2014

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vol. 9

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issue 1

71-86

EN

During the last twenty years, the importance of construction sector in the economy of the country was subject to fluctuations a number of times. This is noticeable as the change in the dynamics of construction-assembly production against the background of the GDP. For this study, two objectives were assumed. The main goal was to determine the strategy of investing in the construction sector at the Warsaw Stock Exchange based on market anomalies Identification of those anomalies was the auxiliary objective of the paper. Determination of deviations from the market efficiency will give the average investor the possibility of generating abnormal rates of return atmosphere at the capital markets. In the paper, the method of literature studies, the method of comparisons and the method of studies on historical material were applied. Indicator analysis was necessary for evaluation of selected fundamental indicators. Profitability of investments was computed by applying the logarithmic rate of return. Based on the results of studies it can be concluded that higher than average rates of return may be obtained independent of the atmosphere at the capital markets and in the entire economy. Based on the analysed time anomalies, the shares of construction companies should be purchased on Wednesdays and sold on Fridays. Purchasing shares of construction companies at the beginning of the year one should sell them at the end of the first year quarter.

4

ANALYSIS OF MONTHLY RATES OF RETURN IN APRIL ON THE EXAMPLE OF SELECTED WORLD STOCK EXCHANGE INDICES

100%

Borowski K.

Equilibrium. Quarterly Journal of Economics and Economic Policy

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2016

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vol. 11

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issue 2

307-325

EN

The article presents a study of the effectiveness of 22 selected stock indices with the use of the rates of return in the month of April. The portfolio replicating the stock index was bought at the closing prices on the last session in March, and sold at the closing prices on the last session in April. The presence of market inefficiency is demonstrated in cases of the following indices: All-Ord, AMEX, BUX, CAC40, DAX, DJIA, DJTA, DJUA, EOE, FTSE100, SMI, SP500, but for the following indices: B-Share, Bovespa, Buenos, Hang-Seng, MEX-IPC, Nasdaq, Nikkei, Russel, TSE and WIG, the obtained monthly rates of return were statistically equal to zero. In the last part of the article, the correlation coefficients of rates of return for analyzed indices in month of April were surveyed.

5

A Practical Approach: Value-Maximizing IPO Timing Decision

100%

Krüger S.

Journal of Management and Financial Sciences

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2016

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vol. 26(4)

45-62

EN

Finding the right IPO timing is one of the most crucial decisions shareholders need to take when they want to list their company on a stock exchange. This paper proposes a simple and in practice usable model to help identify a good IPO timing window. From a theoretical point of view, the model identifies capital market inefficiencies (in case there are any) and gives shareholders of the IPO candidate hints how to use them. The key tool used is a multiple-to-multiple base trade-off analysis over time. The analysis identifies relationships between relative valuation levels investors are willing to pay and relative expected change in operating performance metrics. These market-implied valuation-to-operating performance metrics change relationships are applied to the expected operating performance of the IPO candidate over time. This allows approximating a date with the value-maximizing combination of the multiple base and the market implied valuation multiple.

6

Application of the Hurst coefficient, calculated with the use of the Siroky method on financial markets

100%

Borowski K., Matusewicz M.

Journal of Management and Financial Sciences

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2021

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issue 42

39-75

EN

The paper analyses the Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 and 1250 sessions for the group of 570 financial instruments (Warsaw Stock Exchange equities – 320, equity indexes – 7, commodities – 41, and FX market – 135). The study also covers an analysis of the normality of the distribution of logarithmic rates of return, and the verification of statistical hypotheses with the use of the following statistical tests: Jarque-Bera (JB), Shapiro-Wilk (SW), and d’Agostino-Pearson (DA). In the second part of the paper, the change of the Hurst coefficient over time was analysed, while in the third part two linear regressions of the form H(t) = a + m ∙ t were performed for each of the analysed assets, as well as the determination factor R2. This part of the study aims to answer the question whether the slope of the regression line has a positive or negative value and what the quality of such a fit is with the use of linear regression. Such an analysis enables to observe changes in the fractal dimension, and thus the risk in financial markets over a long period of time. The main conclusion that was drawn from the research may be formulated as follows: the value of the H exponents decreased in the analysed time windows, which means an increase in the fractal dimension (d), and thus the investment risk in financial markets. The obtained results can be used in the process of constructing an investment portfolio in financial markets. The research is part of the ongoing discussion on the effectiveness of financial markets.

7

Analysis of Selected Seasonality Effects in Mar ket s of Futures Contracts with the Following Underlying Instruments: Crude Oil, Brent Oil, Heating Oil, Gas Oil, Natural Gas, Feeder Cattle, Live Cattle, Lean Hogs and Lumber

100%

Borowski K.

Journal of Management and Financial Sciences

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2016

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vol. 26(4)

27-44

EN

The commodity market has become one of the main popular segments of the financial markets among individual and institutional investors in recent years, as an alternative possibility of investments. Like to the eąuity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural and energy markets. This paper tests the hypothesis of daily, monthly, the day-of-the week, the weekend effect, the first and the second half of monthly effects on the market of futures contracts of: crude oil, Brent oil, heating oil, gas oil, natural gas, feeder cattle, live cattle, lean hogs and lumber. Calculations presented in this paper indicate the existence of monthly effect in: January (heating oil, natural gas and lumber), February (gas oil), August (heating oil), September (heating oil, natural gas and lumber), October (natural gas), November (crude oil, Brent oil and lumber) and December (natural gas and feeder cattle), as well as the day-of-the- week effect: on Mondays (feeder cattle, live cattle, lean hogs), on Tuesdays (heating oil), on Wednesdays (heating oil, natural gas, live cattle, lean hogs and lumber), on Thursdays (crude oil, feeder cattle, live cattle) and Fridays (Brent oil, heating oil). The calendar anomalies were also detected for different days of each month on various commodity markets. The weekend effect was not registered, but seasonal effects regarding eąuality of the daily average rates of return in the first and in the second half of each month were detected on the lean hogs market.

8

Calculating Hurst Exponent with the Use of the Siroky Method in Developed and Emerging Markets

100%

Borowski K., Matusewicz M.

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2020

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vol. 3

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issue 27

25-61

EN

The purpose of the article This paper analysis Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 (H625) and 1250 (H1260) sessions for the following assets: (the number of assets for a given group in brackets): Stock indices (74), currency pairs divided into segments: USD exchange rate in relation to 42 other currencies (USDXXX), EURO exchange rate in relation to 41 other currencies (EURXXX), JPY exchange rate in relation to 40 other currencies (JPYXXX) and other currency pairs (12). In total, 209 financial instruments were analyzed. Methodology: Hurst coefficient calculation with the use of the following methods; Siroky, Detrended Moving Average (DMA) and Detrended Fluctuation Analysis (DFA). Results of the research: The Hurst coefficient values calculated with the use of Siroky method are similar to the results obtained using DFA and DMA methods. The second main conclusion that was drawn from the research may be formulated as follows: exchange rates calculated for the developed-developed country currencies are more effective than in the case of the developed-emerging countries group.

9

Fear Anatomy – an Attempt to Assess the Impact of Selected Macroeconomic Variables on the Variability of the VIX S&P 500 Index

89%

Markowski Ł., Keller J.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2020

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vol. 54

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issue 2

EN

This article deals with the subject of volatility of financial markets in relation to the US stock market and its volatility index, i.e. the VIX index. The authors analyzed previous studies on the VIX index and based on them, defined a research gap that relates to the problem of market response to emerging macroeconomic information about the US economy. The vast majority of research on the VIX index relates to its forecasting based on mathematical models not taking into account current market data. The authors attempted to assess the impact of emerging macro data on the variability of the VIX index, thus illustrating the magnitude of the impact of individual variables on the so-called US Stock Exchange fear index. The study analysed 80 macroeconomic variables in the period from January 2009 to June 2019 in order to check which of them cause the greatest market volatility. The study was based on correlation study and econometric modeling. The obtained results allowed to formulate conclusions indicating the most important macroeconomic parameters that affect the perception of the market by investors through the pricing of options valuation on the S&P 500 index. The authors managed to filter the most important variables for predicting the change of VIX level. In the eyes of the authors, the added value of the article is to indicate the relationship between macro variables and market volatility illustrated by the VIX index, which has not been explored in previous studies. The analyzes carried out are part of the research trend on market information efficiency and broaden knowledge in the area of capital investments.

10

Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe

88%

OLBRYŚ J., MAJEWSKA E.

Operations Research and Decisions

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2014

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vol. 24

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issue 1

51-70

EN

Implications of market frictions in the context of serial correlations in indexes on the Central and Eastern European (CEE) stock markets have been analysed. Market frictions, such as non-trading effects, bid/ask spreads, other transaction costs, etc., may be detected by direct measurement, or by indirect identification. Direct measurement of frictions is difficult as intraday trading data are unavailable in the case of most of the emerging CEE stock markets. Indirect identification may be conducted by detecting some empirical phenomena. One of them is evidence of serial correlations in indexes, the so-called the Fisher effect. We explore the problem of serial correlations in indexes on the eight CEE stock markets using data samples from each CEE market separately, as well as a “common trading window” approach, which is widely applied in the case of databases with multivariate time series. The evidence is that nonsynchronous trading effect II between markets may substantially disrupt the analysis of index returns on a domestic market. Using a synchronized database, one may erroneously conclude that the Fisher effect does not exist, although it is present.

11

Is Bitcoin an emerging market? A market efficiency perspective

88%

Skwarek M.

Central European Economic Journal

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2023

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vol. 10

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issue 57

219-236

EN

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market efficiency mimic those of emerging stock markets. Thus, the paper’s contribution emerges from the combination of Bitcoin and emerging markets in the field of dynamics of market efficiency. The dynamics of market efficiency are measured using the Hurst exponent in the rolling window. The study uses daily data for the MSCI Emerging Markets Index and the Bitcoin market over the period 2011–2022. Our results show that there is at most a moderate correlation between the dynamics of Bitcoin and emerging stock markets’ efficiency over the entire study period. The strongest correlations occur mainly in periods of high economic policy uncertainty in the largest Bitcoin mining countries. Therefore, the association between Bitcoin market efficiency and emerging stock markets’ efficiency may strengthen with an increase in economic policy uncertainty. These findings may be useful for investors and portfolio managers in constructing better investment strategies.

12

Algorithmic Trading and Efficiency of the Stock Market in Poland

88%

Jóźwicki R., Trippner P., Kłos K.

Finanse i Prawo Finansowe

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2021

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vol. 2

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issue 30

75-85

EN

The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that algorithmic trading can contribute to a better rate of return than when using passive investment strategies. Technological progress can be observed in many different aspects of our lives, including investing in capital markets where we can see changes resulting from the spread of new technologies. The methodology used in this paper consists in confronting a sample trading system based on classical technical analysis tools with a control strategy consisting in buying securities at the beginning of the test period and holding them until the end of this period. The results obtained confirm the validity of the theory of information efficiency of the capital market, as the active investment strategy based on algorithmic trading did not yield better results than the control strategy.

13

Strategia wartości – test na GPW w Warszawie

75%

Sekuła P.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2016

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vol. 50

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issue 4

EN

This paper examines whether a value strategy can shift the distribution of returns earned by an investor. The strategy divides the universe of stocks annually into book-to-market (B/M), earning-to-price (E/P) and market value (CAP) deciles. These ratios are used to sort individual stocks into portfolios. The paper provides evidence that the value strategies produce lower returns than WIG. The second result is that B/M and CAP have statistically significant predictive power for portfolios returns.

PL

Artykuł analizuje, czy strategia wartości może zmienić poziom stóp zwrotu wypracowanych przez inwestora. Strategia dzieli corocznie ogół akcji na decyle względem B/M, E/P i CAP. Wskaźniki te są wykorzystywane do sortowania akcji w portfelach. Opracowanie dostarcza dowodów, że strategie wartości generują stopy zwrotu niższe od WIG. Drugim rezultatem badania jest potwierdzenie istotnej statystycznie mocy predykcji stóp zwrotu portfeli przez B/M i CAP.

14

Efektywność rynku sportowych zakładów bukmacherskich online w Polsce

75%

Majewski S.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2017

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vol. 51

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issue 1

EN

The article is the short case study on the information efficiency of bookmakers’ market in Poland. The author was focused on the three most popular sport leagues: football (soccer), volleyball and handball. Considering the fact that betting odds in sport are very popular kind of investment, the author tried to find an answer to the following questions: is it the real possibility to influence the betting odds or how significant the knowledge is in the process of making decisions on this market? The part of the research is focused on the Ekstraklasa league matches.

PL

Artykuł jest krótkim studium przypadku nad efektywnością informacyjną rynku zakładów sportowych w Polsce. W pracy skupiono się na trzech najbardziej popularnych ligowych dyscyplinach sportowych: piłce nożnej, siatkówce i piłce ręcznej. Wobec szerokiego zainteresowania inwestycjami polegającymi na obstawianiu wyników sportowych starano się dociec, czy istnieje realna możliwość wpływania na kursy bukmacherskie (czy rynek jest wolny od wpływów) i czy istotne znaczenie może odgrywać wiedza fachowa w procesie decyzyjnym. W ramach badania część uwagi poświęcono na rozgrywki Ekstraklasy piłkarskiej.

15

The Occurrence of Stock Market Anomalies on the Warsaw Stock Exchange as a Sign of Inefficiency of the Polish Equity Market

75%

Lewandowski K.

Przedsiębiorstwo we współczesnej gospodarce - teoria i praktyka

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2020

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vol. 2

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issue 31

15-25

PL

Hipoteza rynku efektywnego, mimo bycia bazą dzisiejszej ekonomii, nadal jest jedną z najbardziej kontrowersyjnych i poddawanych w wątpliwość koncepcją. Rynki efektywne, czyli odzwierciedlające dostępne informacje w cenie aktywów, mogą istnieć za sprawą założenia, że człowiek to jednostka racjonalna - "homo economicus". Odmienne podejście prezentuje jednak ekonomia behawioralna, prezentująca decydenta jako jednostkę obarczoną błędami poznawczymi, która stosuje uproszczenia i heurystyki. Przyjęcie lub odrzucenie istnienia efektywnych rynków ma daleko idące skutki dla inwestorów giełdowych. Jeśli rynek w sposób natychmiastowy odzwierciedla w cenie dostępne informacje to nie powinni być oni w stanie osiągać ponadprzeciętnych stóp zwrotu. Historia pokazuje jednak, że niejeden inwestor znacznie pomnożył swój kapitał i osiągnął wyniki lepsze niż rynek. Strategie pozwalające osiągać ponadprzeciętne zyski nazywane są "anomaliami giełdowymi", co ma wskazywać na ich sprzeczność z klasycznymi założeniami ekonomii. Na przestrzeni lat prowadzono wiele badań zarówno samej efektywności rynków jak i występowania efektów kalendarzowych. Artykuł ten ma poszerzyć wiedzę na temat polskiego rynku kapitałowego i przebadać jego efektywność na przestrzeni ostatnich 10 lat. Na podstawie badania efektywności przy pomocy różnych narzędzi udało się autorowi wykazać występowanie, niektórych, przytaczanych w literaturze przedmiotu, anomalii. Z powodu ich niestabilności w czasie i niskiej powtarzalności na różnych indeksach giełdowych nie doszedł on do jednoznacznego wniosku odrzucającego efektywność polskiego rynku kapitałowego.

EN

The efficient market hypothesis, despite being the basis of modern economy, remains one of the most controversial and contested concepts. Efficient markets, i.e. markets which reflect available information in asset prices, can exist under the assumption that humans are rational individuals – „homo economicus”. On the other hand, behavioural economics takes a different approach and presents the decision maker as an individual who makes cognitive errors and employs simplifications and heuristics. Accepting or rejecting the existence of efficient markets has far-reaching implications for stock market investors. If the market immediately reflects available information in prices, then they should not be able to achieve above average returns. However, history shows that many investors have significantly multiplied their capital and outperformed the market. Strategies that enable above-average returns are called „stock market anomalies” to indicate their clash with classical assumptions of economics. Over the years, there have been many studies of both market efficiency itself and the occurrence of calendar effects. This article aims to broaden the knowledge of the Polish equity market and examine its efficiency over the last 10 years. On the basis of a study of efficiency performed using various tools, the author was able to demonstrate the presence of some anomalies cited in literature on the subject. However, due to their instability over time and low repeatability with respect to various stock indices, the author was unable to unequivocally reject the efficiency of the Polish equity market.

16

Wpływ transakcji insiderów na ceny akcji na Giełdzie Papierów Wartościowych w Warszawie w latach 2010–2020

75%

Gemra K., Kwestarz P.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2021

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vol. 55

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issue 4

7-21

EN

Theoretical background: Since presenting Fama’s research on market efficiency, scientists have been investigating any anomalies that interfere with market efficiency. The use of information asymmetry by insiders is just such an anomaly. A lot of scientific papers have been written in which the impact of insider transactions on the rates of return was described. Our extensive and comprehensive work completes Polish literature in this area.Purpose of the article: The purpose of this article is to investigate the impact of disclosing information about insider deals on the movement of the share price. We examined the impact of the disclosure of information about the change in shareholding by the president of the management board, members of the management board, chairman of the supervisory board, or members of the supervisory board (collectively referred to in this work as insiders) on the price of companies listed on the Warsaw Stock Exchange (WSE).Research methods: The study was carried out using the method of event studies and statistical analysis with the use of computer programming for calculations and data analysis. The analysis covers the period of 10.5 years: from January 1, 2010 to July 16, 2020, in which we took into account ESPI announcements issued by companies from the WSE main market. During the audited period, companies listed on the WSE spent over 400,000 ESPI messages, 743 of which met the criteria for the study, and we took these into account.Main findings: The research described in this article confirms that the published announcements about the change in share ownership by insiders constitute important information for investors investing on the WSE and have a significant impact on the share price – they are price-setting.

PL

Uzasadnienie teoretyczne: Od czasu przedstawienia pracy Famy o efektywności rynku naukowcy badają wszelkie anomalie, które zakłócają tę efektywność. Wykorzystanie asymetrii informacji przez insiderów jest właśnie taką anomalią. Powstało sporo prac naukowych, w których opisano wpływ transakcji insiderów na stopy zwrotu. Nasza szeroka i kompleksowa praca uzupełnia literaturę polską w tym zakresie.Cel artykułu: Celem artykułu jest zbadanie wpływu ujawnienia informacji o transakcji insiderów na zmianę ceny akcji. Zbadaliśmy wpływ podania informacji o zmianie posiadania akcji przez prezesa zarządu, członków zarządu, przewodniczącego rady nadzorczej lub członków rady nadzorczej (zwanych w tej pracy łącznie insiderami) na kurs spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie (GPW).Metody badawcze: Badanie przeprowadzone zostało za pomocą metody event studies i analizy statystycznej z wykorzystaniem programowania informatycznego do obliczeń i analizy danych. Analizie poddano okres 10,5 roku: od 1 stycznia 2010 roku do 16 lipca 2020 roku, w którym wzięliśmy pod uwagę komunikaty ESPI podawane przez spółki z głównego rynku GPW. W badanym okresie spółki notowane na GPW wydały ponad 400 tys. komunikatów ESPI, z których kryteria założone do badania spełniały łącznie 743 komunikaty i te wzięliśmy pod uwagę.Główne wnioski: Badania, które zostały opisane w niniejszym artykule, potwierdzają, że opublikowane komunikaty o zmianie stanu posiadania akcji przez insiderów stanowią istotne informacje dla inwestorów inwestujących na GPW i mają znaczący wpływ na kurs akcji – są cenotwórcze.

17

Testing the adaptive market hypothesis on the WIG Stock Index: 1994-2019

75%

Kołatka M.

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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2020

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issue vol. 64, nr 1

131-142

EN

The adaptive market hypothesis (AMH) is gaining recognition in the world of science because it coherently and logically reconciles the opinions of representatives of the neoclassical school and of behaviourists. The article assesses the reasons for the application of this hypothesis in the context of the Polish stock market. The aim of the article is to examine the level of predictability of return rates of the main Polish stock exchange index. For this purpose, daily logarithmic return rates were applied from the WIG index from October 1994 to December 2019. Moreover, the occurrence between them of a linear dependence (an autocorrelation test) and non-linear dependence (BDS test) was verified for two-year rolling-window framework. The results obtained confirm the cyclical variability of the level of efficiency for the Polish stock market, which complies with the implications of the adaptive market hypothesis.

PL

Hipoteza rynków adaptacyjnych (AMH) ma coraz większe uznanie w świecie naukowym, gdyż w sposób spójny i logiczny godzi poglądy przedstawicieli szkoły neoklasycznej oraz behawiorystów. W artykule oceniono zasadność stosowania tej hipotezy w kontekście polskiego rynku akcji. Celem artykułu jest zbadanie poziomu przewidywalności stóp zwrotu głównego polskiego indeksu giełdowego. Wykorzystano dzienne logarytmiczne stopy zwrotu z indeksu WIG od października 1994 r. do grudnia 2019 r. i dla dwuletnich ruchomych podokresów zweryfikowano występowanie między nimi zależności liniowych (test autokorelacji) i nieliniowych (test BDS). Otrzymane wyniki potwierdzają cykliczną zmienność poziomu efektywności dla polskiego rynku akcji, co jest zgodne z implikacjami hipotezy rynków adaptacyjnych.

18

Metrics of internal audit effectiveness in banking sector

71%

Iwanowicz B., Borowy T.

Kwartalnik Nauk o Przedsiębiorstwie

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2019

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vol. 51

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issue 2

63-70

PL

Celem artykułu jest analiza wskaźników skuteczności audytu wewnętrznego. Autorzy analizują i omawiają wskaźniki postrzegane jako najbardziej odpowiednie dla sektora bankowego. Metodologia opiera się w dużej mierze na podejściu jakościowym. Artykuł obejmuje analizę dostępnej literatury i własnych badań, a także doświadczenie zawodowe autorów w zakresie audytu. Wskaźniki skuteczności funkcji audytu wewnętrznego przedstawione w najnowszych badaniach zdecydowanie faworyzują podejście jakościowe, które ocenia wkład, proces i wyniki audytorów wewnętrznych, w szczególności w zaleceniach i ich realizacji przez kierownictwo organizacji. Autorzy sugerują uzupełnienie listy dostępnych miar o dodatkową metodę, silnie powiązaną z wynikami finansowymi banków stosujących funkcję audytu wewnętrznego. W artykule zaproponowano wprowadzenie dodatkowego pomiaru skuteczności funkcji audytu wewnętrznego. Miary mogą być wykorzystywane przez banki i mogą być empirycznie sprawdzane pod kątem ich stosowania przez podmioty z innych branż, zarówno z sektora prywatnego, jak i publicznego.

EN

This article attempts to analyze the metrics of internal audit function effectiveness. The authors review and discuss the metrics perceived as most relevant and appropriate to the banking sector. The literature review is supported by an attempt to introduce an additional metric of the internal audit function effectiveness. The methodology adopted in this paper bases strongly on the qualitative approach. The article involves an analysis of available literature and own studies, as well as authors’ professional experience in auditing. The metrics of internal audit function effectiveness presented in modern studies strongly favor qualitative approach, focused on assessing the input, process and output of internal auditors, and most notably recommendations issued and their implementation by organizations’ management. The authors suggest supplementing the list of available metrics with an additional method, strongly connected to financial performance of the banks employing the internal audit function. This article introduces an additional possible way of measuring the effectiveness of the internal audit function. This metric can be considered by the banks and can be further empirically verified for appropriateness by entities from other industries, from both private and public sector.

19

The Influence of Moon Phases on Rates of Return of the Warsaw Stock Exchange Indices

63%

Borowski K.

Studia Prawno-Ekonomiczne

|

2016

|

vol. XCVIII

151-166

EN

The influence of the moon on human behavior has been featured in many, not only scientific publications. This paper tests the hypothesis that the one-session rates of return of index WIG20 (Warsaw Stock Exchange) in the period of 14.04.1994–30.06.2015, mWIG40 in the period 31.12.1997–30.06.2015 and sWIG80 in the period of 29.12.1994–30.06.2015, calculated for each of the following phases: full moon, new moon, first and third quarter, are statistically higher than zero (at the significance level of 95%) for WIG20 and sWIG20 when the moon was in the new phase and also for sWIG80 when the moon was in the full phase. In the second, third and the fourth part were tested null hypothesis regarding equality of one session average rates of return in two populations, for analyzed moon phases and when the moon phases falls on a specified day of the week or in the specified months. In case of testing equality of average rates of return in two populations, the outcomes proved that the moon phases are irrelevant for one session average rates of return in two analyzed populations, but in case regarding equality of one-session average rates of return, computed for each day of the week, the result permit to reject the null hypothesis for full moon falling on Fridays (sWIG80) and for 1st quarter falling on Tuesdays (WIG20 and mWIG40). The average rates of return of the Fridays session for sWIG80 (full moon) resulted to be statistically higher than zero, while for Tuesday sessions calculated for WIG20 and mWIG40 (1st quarter) – negative. Calculations of one-session average rates of return, regarding moon phases falling in a specified month, displayed that they are statistically higher than zero for: mWIG40 in March (full moon), WIG20 in June and mWIG40 in July (for indices both – moon in the first quarter phase) and lower than zero for: WIG20 and mWIG40 for full moon sessions in June, mWIG40 in July (new moon), WIG20 for November and sWIG80 for October sessions (for both indices – moon in the first quarter phase). Thus, the influence of moon phases on investors operating on the Warsaw Stock Exchange has been proved.

PL

Wpływ księżyca na ludzkie oddziaływania został przedstawiony w wielu publikacjach naukowych. W artykule tym zweryfikowana została hipoteza statystyczna, że średnia jednosesyjna stopa zwrotu następujących indeksów giełdowych (w nawiasie podany został okres analityczny): WIG20 (14.04.1994–30.06.2015), mWIG40 (31.12.1998–30.06.2015) i sWIG80 (29.12.1994–30.062015) obliczona w czasie sesji, kiedy księżyc znajdował się w jednej z czterech faz (nów, 1. kwadra, pełnia i 3. kwadra) jest statystycznie różna od zera (dla α = 0,05). W drugiej, trzeciej i czwartej części artykułu testowana była hipoteza równości średnich dziennych stóp zwrotu w dwu populacjach, wtedy gdy księżyc znajdował się w jednej ze swoich faz z uwzględnieniem sytuacji, kiedy faza księżyca przypadała w określonym dniu tygodnia lub określonym miesiącu. Otrzymane wyniki wskazują, że jednosesyjna średnia stopa zwrotu obliczona dla sesji, kiedy księżyc znajdował się w fazie nowiu i indeksów WIG20 i sWIG80, a także dla fazy pełni księżyca i indeksu sWIG80, okazała się być statystycznie większa od zera. Z kolei w przypadku testowania równości średniej jednosesyjnej stopy zwrotu w dwu populacjach stóp zwrotu, oddziaływanie księżyca nie zostało wykazane, jednak analiza jednosesyjnych stóp zwrotu obliczonych dla sytuacji, gdy dana faza przypadała w określonym dniu tygodnia, prowadziła do odrzucenia hipotezy zerowej w czasie pełni przypadających w piątki (sWIG80) i pierwszej kwadry wypadających we wtorki (WIG20 i mWIG40). Średnia stopa zwrotu indeksu sWIG80, obliczona dla sesji przypadających w czasie pełni okazała się być statystycznie większa od zera, w odróżnieniu do średniej stopy zwrotu indeksów WIG20 i mWIG40 skalkulowanych dla sesji przypadających w czasie pierwszej kwadry, która okazała się być statystycznie mniejsza od zera. Obliczenia różnicy jednosesyjnych średnich stóp zwrotu w dwu populacjach, przeprowadzone w sytuacji, gdy dana faza księżyca przypadała w określonym miesiącu roku, wykazały statystyczną istotność w następujących przypadkach: czerwcowych (WIG20) i marcowych (mWIG40) pełni, lipcowych nowiów (mWIG40) oraz pierwszych faz księżyca przypadających w czerwcu i listopadzie (WIG20), lipcu (mWIG40) i październiku (sWIG80). Średnia stopa zwrotu była statystycznie większa od zera dla pełni przypadających w marcu (mWIG40), pierwszych kwadr w czerwcu (WIG20) i lipcu (mWIG40), a niższa od zera dla sesji czerwcowych pełni (WIG20 i mWIG40), lipcowego nowiu (mWIG40), pierwszych kwadr w listopadzie (WIG20) i październiku (sWIG80). Tym samym udowodniony został wpływ oddziaływania księżyca na inwestorów operujących na Giełdzie Papierów Wartościowych w Warszawie.

20

Behawioralne podejście do inwestycji finansowych

63%

Ostrowska E.

Pieniądze i Więź

|

2014

|

vol. 17

|

issue 4(65)

57-63

PL

W artykule przedstawiono istotę behawioralnych uwarunkowań decyzji inwestycyjnych, zaproponowano wyodrębnienie behawioralnych zachowań inwestorów i behawioralnych zachowań rynków, a także wskazano potrzebę uwzględnienia wskaźników giełdowych mających cechy behawioralne.

EN

The article presents the essence of behavioural determinants of investment decisions. The Author proposed to extract behavioural actions of investors and market behavioural actions, and also pointed out the need to take into account stock market indices with behavioural traits.

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