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Efficiency of New Financial Markets: The Case of Warsaw Stock Exchange

Author

Listed:
  • Tamborski, Mariusz

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

Abstract

This study investigates the weak form of efficiency of the Warsaw Stock Exchange. The behavior of individual stock returns and the WIG index are examinated from the first quotation in April 1991 until 1993. According to variance ratio, autocorrrelation and run tests of serial dependence. It seems that the market inefficiency of the Warsaw Stock Exchange is in a large part due to the behavior of inexperienced investors as well as the operational factors like system of quotations, illiquidity and the absence of market makers.

Suggested Citation

  • Tamborski, Mariusz, 1994. "Efficiency of New Financial Markets: The Case of Warsaw Stock Exchange," LIDAM Discussion Papers IRES 1995004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvir:1995004
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    Keywords

    financial market;

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