Wpływ ogłoszenia upadłości na złożoność strukturalną zmian cen na GPW
The Effects of Bankruptcy on the Structural Complexity of the Price Changes on WSE

Summary/Abstract: In this study we present a method of analysing market efficiency using information theory. The efficiency of a given market is studied by the degree to which redundancy is present in the time series describing stock returns, while the particular tool used is called Shannon’s entropy rate, and can be interpreted as ameasure of the predictability of stock returns (understood as the limits of prediction). We use this method to analyse time series describing logarithmic returns of chosen companies listed at Warsaw Stock Exchange, which have undergone bankruptcy. There exists a body of research analysing the efficiency of the whole market, but there are no detailed studies analysing how strongly negative economic situation of a company (and particularly information about this situation) affects the efficiency of price formation processes with regards to the shares of this company, and how it affects the predictability of the changes in the prices of these shares. The review presented in this study, based on 44 stocks, is meant to be a prelude to many detailed studies of the influence of effects of events outside of the stock market on the structural complexity of the price formation processes themselves.

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