Abstract
The paper focuses on the analysis of return on shares quoted on the Warsaw Stock Exchange (WSE) in the period 1991–1993. We found that the WSE specific institutional background resulted in a large variation of return rates, their distributional assymetry and truncations which make hypotheses testing procedures about criteria of investors' choice and the price setting mechanism more complicated.
Similar content being viewed by others
References
Bołt T.W. and Miłobedzki, P. (1994), ‘Empiryczna analiza procesów zachodzacych na Warszawskiej Giełdzie Papierów Wartościowych w latach 1991–1993’ (The analysis of the price setting mechanism at the Warsaw Stock Exchange in the period 1990–1993), Materiały Studialne, no. 2, Instytut Badań nad Gospodarka Rynkowa, Gdańsk.
BOSS (1993),Serwis ekonomiczny PAP, no. 7; Economic Bulletin of the Polish News Agency.
Ceduła, (1991), Ceduła Giełdy Warszawskiej, no. 4; official bulletin of the Warsaw Stock Exchange.
Czekaj, J. (1994), ‘The bull market year’, Życie Gospodarcze, no. 4.
Dabrowski, J.M., Federowicz, M., Kamiński, T. and Szomburg, J. (1993), ‘Przekształcenia własnościowe polskich przedsiebiorstw. Przebieg procesu, bariery, pierwsze efekty. Trzeci raport z badań’ (Ownership changes of Polish enterprises. The third report), Transformacja Gospodarki, no. 33, Instytut Badań nad Gospodarka Rynkowa, Gdańsk.
Dynamika prywatyzacji (Privatization Dynamics),Biuletyn Ministerstwa Przekształceń Własnościowych, various issues.
Fama, E.F. and Miller, H.M. (1972),The Theory of Finance. Holt, and Winston, New York.
Hakansson, N.H. (1992), ‘Portfolio analysis’, in Newman, P., Milgate, M. and Eatwell, J. (eds.),The New Palgrave Dictionary of Money and Finance, Macmillan, London, vol. 3, pp. 150–154.
Hart, P.E. (1971), ‘Entropy and other measures of concentration’,JRSS, no. 134, series A, pp. 73–85.
Hirshleifer, J. and Riley, J.G (1992), The Analitics of Uncertainty and Information. Cambridge University Press, Cambridge.
Jarque, C.M. and Berra, A.K. (1980), ‘Efficient tests for normality, homoscedasticity and serial independence of regression residuals’, Economics Letters, 6, pp. 255–259.
Loretan, M. and Phillips, C.B. (1994), ‘Testing the covariance stationarity of heavy-tailed time series’, Journal of Empirical Finance, no. 1, pp. 211–248.
Markowitz, H.M. (1992), ‘Mean-variance analysis’, in Newman, P., Milgate, M. and Eatwell, J. (eds.),The New Palgrave Dictionary of Money and Finance, Macmillan, London, vol. 2, pp. 683–684.
Pagan, A.R. and Schwert, G.W. (1990a), ‘Testing for covariance stationarity in stock market data’, Economics Letters, 33, pp. 165–170.
Pagan, A.R. and Schwert, G.W. (1990b), ‘Alternative models for conditional stock volatility’, Journal of Econometrics, 45, pp. 267–290.
Poland, Czech and Slovak Republic and Hungary, Statistical Bulletin, no. 4, 1992.
Rozłucki, W. (1994), ‘Is the Warsaw Stock Exchange a lottery?’ Życie Gospodarcze, no. 4.
Theil, H. (1979), Principles of Econometrics, Polish Scientific Publishers, Warszawa.
Wojewódka, M. (1993), Jak sie zarabia na giełdzie? (How one can earn at the Warsaw Stock Exchange?), Wojewódka Consulting, Kraków.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Bołt, T.W., Miłobedzki, P. The Warsaw Stock Exchange in the period 1991–1993. Qualitative problems of its modelling. Econ Plann 27, 211–226 (1994). https://doi.org/10.1007/BF01265333
Issue Date:
DOI: https://doi.org/10.1007/BF01265333