The term emerging markets is used to describe business and social activity in the process of rapid adaptation to high developed economies. Changes that started in 90-ties of twentieth century in Central and Eastern European economies created capital markets in that countries. Now 10 of post-communist states are members of European Union, some others have been waiting for accession. Emerging markets have been developing rapidly. Investors recognize these markets as more risky but also more profitably. The example of emerging market is Warsaw Stock Exchange (WSE) that started operation in 1991 with 5 companies listed. Now there are over 360 companies listed on the main and the parallel markets.

Rates of return and risk measures are the most important characteristics that describe financial instruments. The analysis of these features, employing statistical methods and measures, is always provided when an investment is considered. In this research the major characteristics such as: central tendency measures of returns, dispersion measures of returns that are treated as risk measures, asymmetry and flatness measures, shape of the probability distribution of selected securities quoted on The Warsaw Stock Exchange and major market indexes are investigated to describe the general situation of the market and it's segments. For all calculations the rolling windows approach is applied. 

The research is based on actual data concerning daily observations of shares on the Warsaw Stock Exchange between the years 1998-2008. The original data are transformed into daily and weekly logarithmic rates of return that are evaluated for different transaction days.

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