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Predictability of stock markets with disequilibrium trading. A commentary paper

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  • Pawel Miłobędzki

Abstract

The paper focuses on the problem of predictability of stock market returns with disequilibrium trading. It is shown that the predictability of returns may be the consequence of quantity constraints appearing in the markets due to the imposition of administrative restrictions on trade. A relevant test of predictability for the Warsaw Stock Exchange (WSE) based on information referring to disequilibrium states occurrence is proposed. The empirical results of its application to the WSE on a sample containing session-to-session observations from the period January 1995 to December 1999 strongly support the hypothesis of predictability.

Suggested Citation

  • Pawel Miłobędzki, 2004. "Predictability of stock markets with disequilibrium trading. A commentary paper," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 345-352.
    • Handle: RePEc:taf:eurjfi:v:10:y:2004:i:5:p:345-352
    DOI: 10.1080/1351847042000199033
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