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Hipoteza efektywności rynku; weryfikacja dla indeksu WIG- Spożywczy

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  • Waszkowski, Adam

Abstract

The aim of this research is to verify the hypothesis of the weak form efficiency of capital market. The research is conducted for the WIG-Spożywczy index. In the paper, Wald-Wolfowitz’s test, Quenouille’s test of autocorrelation coefficients, the test of joint autocorrelation with Ljung- Box’s statistic and the test of calendar-related anomaly are used. The analysis is provided for 11 sub- samples that contain the daily logarithmic rates of return from 31th December 1998 till 5th May 2011. / Synopsis. W pracy poddano weryfikacji hipotezę o słabej efektywności informacyjnej rynku finansowego. Badania przeprowadzono dla indeksu WIG-Spożywczy. Wykorzystano w tym celu test Walda-Wolfowitza, test współczynnika autokorelacji Quenouille’a, łączną statystykę Ljunga-Boxa oraz testy efektów stycznia oraz poniedziałku. Analizę przeprowadzono w oparciu o dzienne logarytmiczne stopy zwrotu dla okresu od 31.12.1998 do 05.05.2011 dla wyznaczonych 11 podprób.

Suggested Citation

  • Waszkowski, Adam, 2011. "Hipoteza efektywności rynku; weryfikacja dla indeksu WIG- Spożywczy," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 11(26), pages 1-8, December.
    • Handle: RePEc:ags:polpwa:195349
    DOI: 10.22004/ag.econ.195349
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    Cited by:

    1. Bórawski, Piotr & Bełdycka-Bórawska, Aneta & Szymańska, Elżbieta Jadwiga & Jankowski, Krzysztof Józef & Dunn, James W., 2019. "Price volatility of agricultural land in Poland in the context of the European Union," Land Use Policy, Elsevier, vol. 82(C), pages 486-496.

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