71st International Atlantic Economic Conference

March 16 - 19, 2011 | Athens, Greece

Short-sale Constraints Impact on the Capital Market on the Warsaw Stock Exchange

Thursday, 17 March 2011: 10:20
Edyta Marcinkiewicz, Master , Department of Organization and Management, Technical University of Lodz, Lodz, Poland
Krzysztof Kompa, Ph.D. , Department of Informatics, Warsaw University of Life Sciences, Warszawa, Poland
Lack of short sale constrains is believed to be a relevant feature of the mature markets, as they have significant influence on the efficiency of the strategies conducted on both – spot and futures markets. Prior to July 2010 the regulations for short sale on Polish Stock Exchange were very restrictive, and the changes were highly expected by investors. The aim of this study is to capture the influence of the new regulations on the Polish capital market, with particular emphasis on WIG20 futures market. The main aspect of research is the analysis of the level of mispricing of WIG20 futures before and after the change in regulations.