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- W3123221446 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." @default.
- W3123221446 created "2021-02-01" @default.
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- W3123221446 date "2008-06-01" @default.
- W3123221446 modified "2023-09-27" @default.
- W3123221446 title "Analysis of HF data on the WSE in the context of EMH" @default.
- W3123221446 hasPublicationYear "2008" @default.
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