Analysis of HF data on the WSE in the context of EMH

Pawel Strawinski and Robert Ślepaczuk

MPRA Paper from University Library of Munich, Germany

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 G14 G15 (search for similar items in EconPapers)
Date: 2008-06
New Economics Papers: this item is included in nep-mst
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Related works:
Working Paper: Analysis of HF data on the WSE in the context of EMH (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9532

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