The unit root test for collectible coins’ market as a preeliminary to the analysis of efficiency of on-line auctions in Poland
The unit root test for collectible coins’ market as a preeliminary to the analysis of efficiency of on-line auctions in Poland

Summary/Abstract: Traditional auctions were characterized by geographical fragmentation and limited access to information. In that meaning they were considered as inefficient markets. Nowadays, online auctions become more and more popular. There are millions of participants, who buy different kinds of products every day. Information about products and historical prices is available to them thanks to new technology and wide access to the Internet. The question about the efficiency of auctions comes back. The main aim of this work is to check if online auction markets could still be inefficient and if it could be possible to gain abnormal profit. In particular, the analysis of about 300 auctions of an old coin is carried. Data comes from the biggest online auction service in Poland – Allegro.pl. The unit root test for stationarity for prices is performed and the liquidity is shortly examined. The results indicate that coin returns are stationary and their changes cannot be explained by a random walk.

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