Abstract
This paper analyzes the behavior of the Warsaw Stock Exchange in light of the efficient market hypothesis (EMH) and alternative models of market inefficiency. Following a brief history of the Warsaw Stock Exchange and a discussion of EMH and the Shiller (1991) critique, the Polish stock market is examined in terms of the extent to which the assumptions of EMH are met and in terms of the actual behavior of stock prices for the period of 1 June 1993 to 27 July 1994. The analysis suggests that EMH provides an inadequate explanation of investor behavior and its effect on stock price volatility in this emerging market.
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Gordon, B., Rittenberg, L. The Warsaw Stock Exchange: A Test of Market Efficiency. Comp Econ Stud 37, 1–27 (1995). https://doi.org/10.1057/ces.1995.7
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DOI: https://doi.org/10.1057/ces.1995.7