The efficiency of stock market indices in Poland – the empirical evidence
The efficiency of stock market indices in Poland – the empirical evidence

Summary/Abstract: Investors on the stock market evaluate the performance of their portfolios in terms of the rate of return that is achievable. Furthermore, often the analysis of risk connected with an investment is taken into consideration. The relation between these two categories can serve to assess various assets in the context of efficient portfolios in Markowitz’s sense. The more positive this relation is, the more efficient is a portfolio. The article is based on the empirical study of efficiency of stock market indices quoted on the Warsaw Stock Exchange and their development throughout the years of 2008-2013. There are 11 sector indexes, WIG20 and WIG compared to each other in the research. The article focuses on the practical application and description of efficiency measurement methods such as Sharpe Ratio, Jensen Alpha, Treynor Ratio, Information Ratio, and Sortino Ratio. It also discussess values of Pearson’s correlation and beta coefficient which is evaluated with the use of linear regression model. The aim of the study is to evaluate the most efficient indexes (treated as potential portfolios and investment objectives) and to compare their efficiency with WIG. This is done by the comparative analysis of the values of selected efficiency measures. Results are presented in the form of ranking. It emphasizes portfolios (indexes) of shares which had the relation of risk and return better than other indices. As a consequence, such an approach helps potential investors in selecting potentially the most efficient sectors and groups of stocks quoted on the market.

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