Krzysztof Kompa, Ph.D., Department of Informatics, Warsaw University of Life Sciences, ul. Nowoursynowska 166, Warszawa, 02-787, Poland and Aleksandra Matuszewska, Ph.D., Dept. of Econometrics & Statistics, Warsaw University of Life Sciences, ul. Nowoursynowska 166, Warszawa, 02-787, Poland.
Warsaw Stock Exchange (WSE) started in 1991 and it has been developing rapidly. Till March 2008, the number of shares quoted at the WSE rose 40 times, capitalization – nearly 6000 times and total turnover value – more than 13 800 times. But, regardless the visible development, the WSE is still considered as an emerging market. It is generally accepted that emerging markets are not efficient. We can say that the capital market is efficient if the prices at the market fully reflect all available information. The Efficient Market Hypothesis (EMH) was formulated by E. Fama and is considered to be pioneering contribution in this area. Three forms of the capital market efficiency can be distinguished:
· Weak-Form Efficiency when prices reflect all information contained in past trading,
· Semistrong-Form Efficiency when prices reflect all publicly available information,
· Strong-Form Efficiency when prices reflect all relevant information including inside information.
The aim of the research is to analyze changes of the efficiency at the Warsaw Stock Exchange. Particularly we investigate the week form of efficiency using selected statistical tests (autocorrelation tests, runs test, variance ratio test, unit root tests). The research is based on actual data concerning daily observations of shares at the Warsaw Stock Exchange transformed to the logarithmic rates of return, considering the period January 2000 – August 2007 and subperiods: the bear market, stagnation and the bull market. The research is also conducted employing “rolling windows” to observe the changes of the whole market and also it’s segments step by step.
The analysis is provided for daily quotations of selected WSE indexes:
· evaluated for the whole market: WIG, WIG20, mWIG40, sWIG80;
· evaluated for branches: TechWIG, WIGbanking, WIGconstruction, WIGit, WIGmedia, WIGoil&gas, WIGfood and WIGtelecom.
Key words: Warsaw Stock Exchange, week form of capital market efficiency, runs test, variance ratio test, unit root test, autocorrelation tests, rolling window.
JEL: C10, G10