Anomalie czasowe jako przejaw nieefektywności rynku kapitałowego w Polsce
TIME ANOMALIES AS AN EXEMPLIFICATION OF CAPITAL MARKET INEFFICIENCY IN POLAND

Summary/Abstract: The aim of the study is testing the Warsaw Stock Exchange market efficiency hypothesis through the time anomalies. The study concerns the Warsaw Stock Exchange indexes and is carried out for different market conditions in the years 2003-2009. In view of the fact that the study includes both the upturn - the bull market (Jan. 2003 - Oct. 2007) as well as the downturn - the bear market (Nov. 2007 - Mar. 2009), market research in the study is divided into two sub-performing separate studies. The significance of differences in mean changes were confirmed by applying parametric tests of significance of mean differences (t-Student) as well as nonparametric tests (U Mann - Whitney). The studies demonstrate an occurrence of time anomalies on the Polish capital market. The studies also confirm the existence of market efficiency dependence on the Polish capital market situation. The results of the studies may indicate the Polish stock market inefficiency.

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