Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741    OAI    DOI: 10.18276/frfu.2018.94/2-02
CC BY-SA   Open Access 

Issue archive / 4/2018
Efekt momentum na GPW w Warszawie w latach 1995-2015
(Momentum strategy on the Warsaw Stock Exchange in the period 1995-2015)

Authors: Leszek Czapiewski ORCID
Uniwersytet Ekonomiczny w Poznaniu
Keywords: market anomalies equity market efficiency momentum effect momentum strategy
Data publikacji całości:2018
Page range:17 (19-35)
Klasyfikacja JEL: G11 G12 G14
Cited-by (Crossref) ?:

Abstract

Purpose – The aim of the research is to verify the existence of the momentum effect on the Warsaw Stock Exchange in Poland in the period 1995–2015. Design/methodology/approach – Different portfolios were built according to the momentum strategy for investments for K months (where K = 1, ..., 36). Such portfolios included both most growing and most declining equities during J-months (J = 1, ..., 36). In the next step, portfolios of exclusively most growing companies were constructed. Simultaneously, it was repeated for most declining companies only. Findings – The results provide evidence for the existence of the momentum effect during the period 1995–2015. Hence, they are in line with findings of the previous studies for earlier stages of the WSE development. However, detailed analysis proves for large differences of results in robustness tests. Originality/value – The research was based on 1.296 investment strategies for 649 companies listed on the main equity market in Poland in the period 1995–2015. Hence, it is the most comprehensive study on the momentum effect for Polish equities.
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