ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS

Pawel Strawinski and Robert Ślepaczuk

Journal of Applied Economic Sciences, 2008, vol. 3, issue 3(5)_Fall2008, 306-319

Abstract: This paper focuses on one of the heavily tested issue in the contemporary finance, i.e. efficient market hypothesis (EMH). However, we try to find the answers to some fundamental questions basing on the analysis of high frequency (HF) data from the Warsaw Stock Exchange (WSE). We estimate model on daily and 5-minute data for WIG20 index futures trying to verify daily and hourly effects. After implementing the base methodology for such testing, additionally we take into account the results of regression with weights, i.e. robust regression is used that assigns the higher weight the better behaved observations. Our results indicate that we observe the day of the week effect and hour of the day effect in polish data. What is more important is the existence of strong open jump effect for all days except Wednesday and positive day effect for Monday. Considering the hour of the day effect we observe positive, persistent and significant open jump effect and the end of session effect. Aforementioned results confirm our initial hypothesis that Polish stock market is not efficient in the information sense.

Keywords: high-frequency financial data; robust analysis; pre-weighting; efficient market hypothesis; calendar effects; intra-day effects; the open jump effect; the end of session effect; emerging markets (search for similar items in EconPapers)
JEL-codes: C22 C61 G14 G15 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.jaes.reprograph.ro/articles/11_Analysis ... MarketHypothesis.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:3:y:2008:i:3(5)_fall2008:p:306-319

Access Statistics for this article

Journal of Applied Economic Sciences is currently edited by Laura Stefanescu

More articles in Journal of Applied Economic Sciences from Spiru Haret University, Faculty of Financial Management and Accounting Craiova Contact information at EDIRC.
Bibliographic data for series maintained by Laura Stefanescu ().