THE OCCURRENCE OF STOCK MARKET ANOMALIES ON THE WARSAW STOCK EXCHANGE AS A SIGN OF INEFFICIENCY OF THE POLISH EQUITY MARKET

Abstract

The efficient market hypothesis, despite being the basis of modern economy, remains one of the most controversial and contested concepts. Efficient markets, i.e. markets which reflect available information in asset prices, can exist under the assumption that humans are rational individuals – „homo economicus”. On the other hand, behavioural economics takes a different approach and presents the decision maker as an individual who makes cognitive errors and employs simplifications and heuristics. Accepting or rejecting the existence of efficient markets has far-reaching implications for stock market investors. If the market immediately reflects available information in prices, then they should not be able to achieve above-average returns. However, history shows that many investors have significantly multiplied their capital and outperformed the market. Strategies that enable above-average returns are called „stock market anomalies” to indicate their clash with classical assumptions of economics. Over the years, there have been many studies of both market efficiency itself and the occurrence of calendar effects. This article aims to broaden the knowledge of the Polish equity market and examine its efficiency over the last 10 years. On the basis of a study of efficiency performed using various tools, the author was able to demonstrate the presence of some anomalies cited in literature on the subject. However, due to their instability over time and low repeatability with respect to various stock indices, the author was unable to unequivocally reject the efficiency of the Polish equity market.