Volume- and size-related lead–lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange

2008 ◽  
Vol 17 (1) ◽  
pp. 134-155 ◽  
Author(s):  
Bartosz Gębka
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Lag Effects ◽  
Warsaw Stock Exchange

scholarly journals State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange

2020 ◽  
Vol 8 (1) ◽  
pp. 13
Author(s):  
Szymon Stereńczak
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Holding Period ◽  
State Dependent ◽  
Warsaw Stock Exchange

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction of returns. It also does not increase during periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.

The Cost of Equity Capital in Stock Portfolios Listed on the Warsaw Stock Exchange Using the Classic CAPM

e-Finanse ◽  
2019 ◽  
Vol 15 (2) ◽  
pp. 48-62
Author(s):  
Stanisław Urbański
Keyword(s):  
Real Options ◽  
Stock Returns ◽  
Cost Of Capital ◽  
Stock Exchange ◽  
Bootstrap Method ◽  
Equity Capital ◽  
Cost Of Equity Capital ◽  
Cost Of Equity ◽  
Warsaw Stock Exchange ◽  
The Cost

AbstractThis work is an attempt to estimate the cost of equity capital characteristic among portfolios of companies listed on the Warsaw Stock Exchange in the years 1995-2017. To this end, the classic CAPM is used to estimate the cost of risk. Model tests are based on 252 monthly returns. In order to assess the errors of cost of capital estimation, the bootstrap method is used. The estimated cost of capital refers to the project portfolio with real options on these projects. Stock returns are generated not only by the companies implementing projects but also through real options modifying these projects. The estimated cost of capital can be a valuable indicator for portfolio managers. Also, it can be an approximate indicator for making decisions on the implementation of new investment projects. The estimated cost of capital assumes the highest values for value portfolios. The estimated cost of capital assumes the small values for growth portfolios.

scholarly journals The Impact of Ramadan month on market stock returns anomalies: an empirical investigation of Palestine Exchange (PEX)

2020 ◽  
Vol 17 (1) ◽  
pp. 253-265
Author(s):  
Ashraf S. Hijazi ◽  
Mosab I. Tabash
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Market Value ◽  
High Demand ◽  
Remarkable Effect ◽  
Investment Companies ◽  
Earnings Per Share ◽  
The Impact ◽  
Comparison Period

The main purpose of the current study is to examine the impact of Ramadan month on stock returns at the Palestine Exchange (PEX). The study sample consists of all Palestinian public shareholding companies listed in the PEX. The comparison period used in this study consists of 30 days before Ramadan month, 30 days after Ramadan month, and Ramadan month (30 days). This gives a total of 90 days in a year for ten years (2006–2016). The GJR-GARCH technique is used. The results of the study show that Ramadan month has a remarkable effect on the stock returns of the companies in the PEX. The results indicate a significant impact on earnings per share (EPS) in the PEX. Furthermore, there is a positive relationship between the stock returns and the market value in Ramadan month. The profits are increased in the industrial and investment companies due to the high demands in Ramadan month. Therefore, the companies should work to keep a steady performance in the whole year. Besides, the capacity of industrial and investment companies should be increased to meet the high demand in Ramadan month. This study will help Palestinian investors to effectively time their trading. This study is considered one of the pioneering studies that discuss the impact of Ramadan month on the stock returns in the context of Palestine Stock Exchange.

scholarly journals The Impact of Trade Liquidity on the Rates of Return from Emerging Market Shares Based on the Example of Poland, Austria and Hungary

2019 ◽  
Vol 4 (343) ◽  
pp. 137-157
Author(s):  
Agata Gniadkowska - Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Futures Contracts ◽  
Stock Liquidity ◽  
Market Shares ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
Alternative Test ◽  
The Impact

In relation to assets, liquidity generally relates to the ease by which an asset can be sold immediately after purchase without incurring losses of any kind. These losses could be due to price changes or various transaction costs. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged a long time ago. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an “illiquidity premium”. This paper examines various factors which have an effect on liquidity by presenting the results of research concerning relations between liquidity and stock returns on the Warsaw Stock Exchange (WSE), the Budapest Stock Exchange (BSE) and the Vienna Stock Exchange (VSE). The main objective of the study is to determine whether there is a statistically significant relationship between the trading liquidity of the shares and the evolution of the rate of return on these shares. The applied research methodology is similar to that described by Datar, Naik and Radcliffe in their work “Liquidity and Stock Returns: An Alternative Test”.

scholarly journals The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange

2019 ◽  
Vol 4 (2) ◽  
pp. 67-88
Author(s):  
Mostafa Raeisi Sarkandiz ◽  
Robabeh Bahlouli
Keyword(s):  
Empirical Investigation ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Informational Efficiency ◽  
Efficient Market ◽  
Warsaw Stock Exchange ◽  
Classic Approach ◽  
Alternative Theories

In empirical studies of the efficient market hypothesis using a classic approach, attention has generally been paid to the weak form of performance; other aspects of efficiency, such as informational efficiency, have not been addressed. Also, the study of alternative theories, such as behavioral hypotheses, is neglected. This article seeks to investigate not only the weak and informational forms of the efficient market hypothesis, but also to test the adaptive and fractal market hypotheses as two alternative theories by conducting an empirical study on the Warsaw Stock Exchange.

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

2021 ◽  
Vol 43 ◽  
pp. 206-224
Author(s):  
Jacek Karasiński ◽  
◽  
Patryk Zduńczak ◽  
◽  
◽  
...  
Keyword(s):  
Random Walk ◽  
Market Efficiency ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Common Belief ◽  
Market Inefficiency ◽  
Warsaw Stock Exchange

Aim/purpose–The aim of this paper is to verify whether extremely high values of mar-ket 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.Design/methodology/approach–Following Bachelier’s strict random walk model, we quantified a weak-form informational market efficiency with the use of the percentage of normality tests in stock returns run (Expanded Shapiro–Wilk, D’Agostino-Pearson and Jarque–Bera), which indicate that the analyzed distribution is normal (a null hypothesis cannot be rejected). The empirical study was based on the comparison of the market value ratios (P/E and P/BV) and the informational efficiency measure at the level of particular companies, listed on the Main Market and NewConnect of the Warsaw Stock Exchange, and grouped into eight sectors. In order to do this, we analyzed scatterplots, descriptive statistics, Pearson’s and Spearman’s rank correlation coefficients. The da-taset covered 214 companies (based on the assumptions made) in the period from 2016, December 31 to 2020, March 23.Findings–Results obtained indicated that, in most cases, the extremely high values of market value ratios did not co-occur with market inefficiency. Hence, the outstandingly high market value ratios do not have to be the symptoms of market inefficiency. Research implications/limitations–Following a common belief shared in the industry, but still not examined yet, this study examines the possible co-occurrence of extremely high market valuation and market inefficiency, but does not exploit it fully. The authors encourage other researchers, especially, to apply other market value ratios and to come up with their own ideas for market efficiency proxies. What is more, this study has been conducted on a relatively small market, thus the conclusions drawn from the study on the WSE should be tested on other, more developed markets.Originality/value/contribution–According to the authors’ knowledge, this study is one of the first trying to examine if the extremely high market value ratios are the symp-toms of the informational inefficiency of the market.Keywords: efficient market hypothesis, weak-form efficiency, market value ratios, stock markets, random walk. JEL Classification:G10, G12, G14.

scholarly journals The Multifactorial Pastor-Stambaugh model: explaining the impact of liquidity on the rate of return based on the example of the Warsaw Stock Exchange

Equilibrium ◽  
2017 ◽  
Vol 12 (2) ◽  
pp. 211
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Value Added ◽  
Rate Of Return ◽  
Warsaw Stock Exchange ◽  
Incremental Rate ◽  
Finance Theory ◽  
The Impact ◽  
The Relationship

Research background: The liquidity of assets in the financial market is under-stood gener-ally as costs, and the easiest way in which different types of assets can be converted into cash, or to put it simply, sold at the currently available price on the market. For a considerable period of time this category had not been duly considered in the framework of modern finance theory. As a result, a number of basic models constructed within the framework of this theory in its classical form did not include problems with liquidity. This applies to a number of aspects related to liquidity, with one of the most important being the relationship between the liquidity of trading in shares and the results obtained from these rates of return.Purpose of the article: The aim of the article is to determine whether the rate of return on shares increases with the increase in share liquidity and the incremental rate of return on this account decreases with increasing liquidity. The applied re-search methodology is similar to that described by Pastor and Stambaugh (2003). The model used in the empirical study is the expanded model of Fama and Francha (1993) for the liquidity factor.Methods: In this paper I present various factors which will affect the liquidity. The paper will also provide the results of research concerning the relations between spread and stock return on the Warsaw Stock Exchange (WSE). The evidence drawn from WSE stock returns over the period 2004–2012 indicates that Amihuda measure and other variables have a significant effect on stock return using the multifactorial Pastor-Stambaugh.Findings & Value added: In the case of the Polish market, it can be stated that in the analysis based on the Pastor-Stambaugh model not all the variables included in this model are statistically significant. However, directional parameters associated with liquidity risk were statistically significant in all analyzed periods, which allows us to confirm the hypothesis that liquidity has a significant influence on the rate of return on shares listed on the Stock Exchange in Warsaw.

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