Effects of the Warsaw stock exchange trading sessions extension

The Warsaw Stock Exchange (WSE) has been operating by more than 20 years now. At the beginning the trading sessions were once a week, later number of days was extended up to five days a week. On January, 3, 2011 the Warsaw Stock Exchange extended the length of trading sessions at all markets (i.e. trading platforms). Thus trading sessions lasted from 8.30 a.m. to 5.35 p.m., and they are longer by an hour in comparison to the previous period. This change was introduced to make WSE better recognized by foreign investors and to increase its attractiveness for investors and issuers at European market. However this change caused a lot of controversy, especially among stock-brokers who claimed that such decision caused the extension of their working hours and increasing of operational cost of their activity. In consequences, after consultation procedure, and dialogue with market participants the Warsaw Stock Exchange shortened the length of the sessions by half an hour for limited period of time from April, 15, 2013 to the end of the year.

It is worth mentioning that there are only limited number of research concerning the manipulation of the length of the trading sessions at stock exchanges since there are only 2 such cases (when Stock Exchange in Athens is excluded). These cases are bourses in Oslo (trading hours extended +1hrs at  01 Sep 2008 and cut -1hrs at 06 Aug 2012) and in Warsaw (trading hours extended +1hrs at  03 Jan 2011 and cut -0.5hrs at 15 Apr 2013). Oslo’s experiment illustrates the tension between those who say bourses should be open for longer to enable investors to react to news, while others argue that shorter hours lead to more committed trading, from long-term institutional investors. In some research conducted by the Warsaw Scholl of Economics the hypothesis that the trading hours extension do not influence the volume was not rejected. However in our opinion the provided study was not sufficient to derive such conclusion. Therefore it is necessary to conduct further research on that subject.

The aim of our research is to fill the gap in previous investigation by profound analysis of the influence of the session extension on rates of return from main stock indexes and changes in mutual relations among selected stock indexes. The investigation is provided applying statistical methods and econometric models.