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Author
Borowski Krzysztof (Warsaw School of Economics, Poland)
Title
Analysis of Monthly Rates of Return in January and December on the Example of Selected World Stock Exchange Indexes
Analiza miesięcznych stóp zwrotu w styczniu i grudniu na przykładzie wybranych indeksów giełd światowych
Source
Modern Management Review, 2015, vol. 20 (XX), nr 22 (1), s. 17-38, tab., bibliogr. 91 poz.
Keyword
Efekty kalendarzowe, Anomalie sezonowe, Efektywność rynku, Rynki finansowe, Sezonowość, Analiza rynku
Calendar effects, Seasonal anomalies, Market effectiveness, Financial markets, Seasonal character, Market analysis
Note
streszcz., summ.
Abstract
Na współczesnym rynku wciąż miedzy teoretykami a praktykami toczy się dyskusja na temat efektywności rynków. O ile ci pierwsi starają się wykazać efektywność rynków finansowych, o tyle druga grupa wyraża przekonanie, że rynki finansowe nie są efektywne. Przeprowadzenie dowodu pokazującego efektywność rynków finansowych byłoby jednocześnie dowodem na to, że zarządzający portfelami aktywów nie byliby w stanie uzyskać wyższej stopy niż portfel rynkowy w długim terminie. Jednym ze sposobów wykazania tezy o nieefektywności rynków finansowych jest m.in. badanie efektów kalendarzowych. Ich występowanie podważa bowiem teorię rynków efektywnych i pozwala na skonstruowanie strategii inwestycyjnej pozwalającej uzyskiwać nadwyżkowe stopy zwrotu (powyżej stopy zwrotu analizowanego indeksu giełdowego). W artykule przedstawiono badanie efektywności 22 wybranych indeksów giełdowych przy zastosowaniu miesięcznych stóp zwrotu w styczniu i grudniu (odpowiednio tzw. efekt stycznia i efekt "rajdu św. Mikołaja"). Portfel replikujący określony indeks giełdowy nabyty został na ostatniej sesji w jednym miesiącu, a sprzedany również na ostatniej sesji w następnym (w cenach zamknięcia). Występowanie nieefektywności rynków wykazano w styczniu dla dwu indeksów: BUX i Nasdaq, a w grudniu dla 15 spośród 22 badanych indeksów: All-Ord, BUX, CAC40, DJIA, DJTA, DJUA, EOE, FTSE100, MEX-IPC, Nasdaq, Nikkei, Russel, SP500, TSE i WIG. Tym samym w wypadku niektórych indeksów potwierdzone zostały prace innych badaczy, a w wypadku innych, przeprowadzone badania należy uznać za pionierskie. (abstrakt oryginalny)

In today's financial market there is a debate on the efficiency of markets between theoreticians and practitioners. While the former are trying to demonstrate the efficiency of financial markets, the second group believes that financial markets are not efficient. Evidence showing the efficiency of financial markets would also be a proof of the fact that asset portfolio managers would not be able to gain a higher rates of return than the market portfolio rates of return, in the long run. One way to demonstrate the thesis of the inefficiency of the financial markets, it is, among others, examination of calendar effects. Their existence undermines the efficient market theory and allows to construct an investment strategy which permits to obtain positive excess returns (above the rate of return of analyzed stock market index). The article presents a study of effectiveness of 22 selected stock indices with the use of the rates of return in the months of January and December (so called "January effect" and "turn-of-the-year" effect, respectively). The portfolio replicating the stock index was bought at the close prices on the last session in one month, and sold at the close prices on the last session of the follow-ing month. The presence of market inefficiency has been demonstrated in the January in case of two indices: BUX and Nasdaq and in December in the following 15 cases: All-Ord, BUX, CAC40, DJIA, DJTA, DJUA, EOE, FTSE100, MEX-IPC, Nasdaq, Nikkei, Russel, SP500, TSE and WIG. Thus, in the case of some indices, the conclusions of other researchers has been confirmed, but other studies should be regarded as pioneering. (original abstract)
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ISSN
2353-0758
Language
eng
URI / DOI
http://dx.doi.org/10.7862/rz.2015.mmr.2
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