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How the Change of Governing Party Influences the Efficiency of Financial Market in Poland

Author

Listed:
  • Dorota Witkowska

    (University of Lodz)

  • Krzysztof Kompa

    (SGGW w Warszawie)

Abstract

Financial market seems to be sensitive to political changes, especially when the change of governing party is connected with essential changes of the economic development concepts. Such situation took place in Poland in 2015, as a result of the presidential and parliamentary elections. The aim of our research is to investigate the changes occurred on the market, represented by some stable growth open mutual funds, and stock indexes: WIG and TBSP. Analysis is provided applying single index and CAPM models, classical investment performance measures, and statistical interference.

Suggested Citation

  • Dorota Witkowska & Krzysztof Kompa, 2017. "How the Change of Governing Party Influences the Efficiency of Financial Market in Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 147-159.
    • Handle: RePEc:cpn:umkdem:v:17:y:2017:p:147-159
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    References listed on IDEAS

    as
    1. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    2. Blitz, D.C. & van Vliet, P., 2007. "The Volatility Effect: Lower Risk without Lower Return," ERIM Report Series Research in Management ERS-2007-044-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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    More about this item

    Keywords

    stable growth open mutual funds; investment efficiency; Sharpe model; CAPM; Sharpe; Treynor and Jensen ratios;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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