publication . Article . 1995

The Warsaw Stock Exchange: A Test of Market Efficiency

Barry Gordon; Libby Rittenberg;
Open Access
  • Published: 01 Jan 1995 Journal: Comparative Economic Studies, volume 37, issue 2 July, pages 1-27
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.
Subjects
free text keywords: Economics and Econometrics, Macroeconomics, Stock market bubble, Inefficiency, Economics, Volatility (finance), Market maker, Stock exchange, Economic system, Emerging markets, Financial economics, Efficient-market hypothesis, Stock market
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publication . Article . 1995

The Warsaw Stock Exchange: A Test of Market Efficiency

Barry Gordon; Libby Rittenberg;