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

Pawel Strawinski () and Robert Ślepaczuk

No 2008-08, Working Papers from Faculty of Economic Sciences, University of Warsaw

Abstract: This paper focuses on one of the heavily tested issues in the contemporary finance, i.e. efficient market hypothesis (EMH). The existing evidence in the literature is ambiguous. For some markets, the departure from efficiency is observed only when High Frequency (HF) data are analysed. Therefore, we verify efficient market hypothesis (EMH) basing our analysis on 5-minute data for WIG20 index futures quoted on the Warsaw Stock Exchange (WSE). We use robust regression that assigns the higher weights to the better behaved observations in order to verify the existence of daily and hourly effects. Our results indicate that the day of the week effect and hour of the day effect are observed. 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: G14 G15 C61 C22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2008
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Published in the Journal of Applied Economic Sciences (Craiova, RO) vol.III, issue 3(5)/2008, Fall 2008, pages 306-319

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http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP8.pdf First version, 2008 (application/pdf)

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