RESEARCH OF WSE EFFICIENCY BASED ON SELECTED INDEXES: TEST OF AUTOCORRELATION
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:
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.
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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://aspe.sggw.edu.pl/article/view/821
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