RESEARCH OF WSE EFFICIENCY BASED ON SELECTED INDEXES: TEST OF AUTOCORRELATION

  • Dorota Witkowska Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
  • Dorota Żebrowska-Suchodolska Wyższa Szkoła Finansów i Zarządzania w Białymstoku https://orcid.org/0000-0003-1230-6413
Keywords: efficient market hypothesis, test of autocorrelation

Abstract

The aim of the research is to verify the hypothesis of the weak form efficiency of the Polish capital market. The research is conducted for the index, that was constructed for quotations of the bank sector companies, and the index of gold companies WIG20. In the paper the Quenouille’s test of autocorrelation coefficients and test of joint autocorrelation with Ljung-Box statistics are used. The analysis is provided for 19 defined subsamples that contain the daily logarithmic rates of return from the period 3.10.1994–29.12.2006.

Downloads

Download data is not yet available.
Published
2008-12-30
How to Cite
Witkowska, D., & Żebrowska-Suchodolska, D. (2008). RESEARCH OF WSE EFFICIENCY BASED ON SELECTED INDEXES: TEST OF AUTOCORRELATION. Acta Scientiarum Polonorum. Oeconomia, 7(4), 155-162. Retrieved from https://js.wne.sggw.pl/index.php/aspe/article/view/3809
Issue
Vol 7 No 4 (2008): Acta Scientiarum Polonorum. Oeconomia
Section
Articles