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

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  • Paweł Strawiński

    ()
    (Faculty of Economic Sciences, University of Warsaw)

  • Robert Ślepaczuk

    ()
    (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.

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File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP8.pdf
File Function: First version, 2008
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Bibliographic Info

Paper provided by Faculty of Economic Sciences, University of Warsaw in its series Working Papers with number 2008-08.

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Length: 19 pages
Date of creation: 2008
Date of revision:
Publication status: Published in the Journal of Applied Economic Sciences (Craiova, RO) vol.III, issue 3(5)/2008, Fall 2008, pages 306-319
Handle: RePEc:war:wpaper:2008-08

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Related research

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;

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  1. R. Golinelli & R. Orsi, 2001. "Hungary and Poland," Working Papers 424, Dipartimento Scienze Economiche, Universita' di Bologna.
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  16. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(1), pages 83-106, February.
  17. Kaushik Bhattacharya & Nityananda Sarkar & Debabrata Mukhopadhyay, 2003. "Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(8), pages 553-563.
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