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

Author

Listed:
  • 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.

Suggested Citation

  • Paweł Strawiński & Robert Ślepaczuk, 2008. "Analysis of HF data on the WSE in the context of EMH," Working Papers 2008-08, Faculty of Economic Sciences, University of Warsaw.
    • Handle: RePEc:war:wpaper:2008-08
    as

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    File URL: http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP8.pdf
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    References listed on IDEAS

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    More about this item

    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;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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