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Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange

Author

Listed:
  • Karasiński Jacek

    (Department of the Financial Systems of the Economy, Faculty of Management, University of Warsaw, Poland)

  • Zduńczak Patryk

    (Faculty of Management, University of Warsaw, Poland)

Abstract

Aim/purpose – The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other.

Suggested Citation

  • Karasiński Jacek & Zduńczak Patryk, 2021. "Do extreme market value ratios mean that the market is informationally inefficient? A study of the Warsaw Stock Exchange," Journal of Economics and Management, Sciendo, vol. 43(1), pages 206-224, May.
    • Handle: RePEc:vrs:jecman:v:43:y:2021:i:1:p:206-224:n:18
    DOI: 10.22367/jem.2021.43.10
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    References listed on IDEAS

    as
    1. Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2), pages 75-90, May.
    2. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    3. Zalewska-Mitura, Anna & Hall, Stephen G., 1999. "Examining the first stages of market performance: a test for evolving market efficiency," Economics Letters, Elsevier, vol. 64(1), pages 1-12, July.
    4. Wen Cheong, Chin & Hassan Shaari Mohd Nor, Abu & Isa, Zaidi, 2007. "Asymmetry and long-memory volatility: Some empirical evidence using GARCH," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 651-664.
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    More about this item

    Keywords

    efficient market hypothesis; weak-form efficiency; market value ratios; stock markets; random walk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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