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Investigation of the Strong Form Efficient Market Hypothesis: the Example of Selected Investment Funds

Dorota Witkowska 1Krzysztof T. Kompa 1Marta Grabska 

1. Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland

Abstract

The aim of the research is evaluation of the efficiency of 19 selected open-end investment funds that have been operating at the Polish market. Analysis is based on daily data and covers the period from November, 2, 2006 to November, 2, 2008. Investigation is provided for the time series that contain observations from 3, 6, 12 and 24 months. The risk-free rate instruments are represented by selected treasury bonds and the market index is represented by the WIG (Warsaw Stock Exchange Index). In the research we apply Sharpe, Treynor and Jensen ratios as well as we investigate selectivity and market timing employing Treynor-Mazuy and Henriksson-Merton models.

 

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Related papers

Presentation: Poster at First International Conference Quantitative Methods in Economics, Poster session, by Dorota Witkowska
See On-line Journal of First International Conference Quantitative Methods in Economics

Submitted: 2009-06-13 12:27
Revised:   2010-03-05 15:17