Efektywność wyceny rynkowej kontraktów futures na kurs Euro na GPW w Warszawie
Efficiency of market valuation of Euro futures on the Warsaw Stock Exchange

Summary/Abstract: The aim of the paper is to analyze the compatibility of market valuation with the theoretical valuation of euro futures on the WSE in 2008-2010. The study shows that these instruments are usually underestimated on the Polish market. This situation is caused by technical difficulties in implementing the reverse cash-and-carry arbitrage, which otherwise could reduce the differences in valuation. The technical problems are due to restrictions in foreign currency loans policy, especially during the time of financial crisis. Furthermore, the additional costs reduce profits of arbitragers. As a result, the research proves the inefficiency of the market valuation of euro futures contracts and its systematic support on the Polish market.

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