Academic journal article International Advances in Economic Research

Rates of Return Analysis: Examples from the Warsaw Stock Exchange

Academic journal article International Advances in Economic Research

Rates of Return Analysis: Examples from the Warsaw Stock Exchange

Article excerpt

JEL C10

The rates of return and risk measures are the most important characteristics that describe the financial instruments, thus, they are analyzed by investors. In this paper, logarithmic rates of return evaluated for selected securities in years 2002-2005 are considered. The instruments that are taken into account are five "gold" companies quoted on Warsaw Stock Exchange (WSE) and two major market indexes. Examined indexes are WIG and WIG20. WIG is the index of 133 of the biggest and mid-size companies listed at WSE, and WIG20 is the index containing 20 "gold" companies, i.e. the biggest and the most liquid companies. The WIG20 portfolio is quarterly revised and adjusted on the third Friday of March, June, September, and December.

In the research, five companies with the highest percentage share in index WIG20 (in March 2006) are selected. These companies represent different economic branches: metals--KGHM, oil and gas--PKNORLEN, banking--PEKAO and BPHPBK, and telecom--TPSA. The analysis is provided for the major characteristics (i.e., mean, variance, skewness measure, and kurtosis) evaluated for the logarithmic rates of return of five "gold" companies and two WSE indexes. The type of the probability distribution is also investigated. Employing test verification for parametric and non-parametric hypothesis, the following conclusions can be derived: (1) the average daily rates of return for all seven securities are non-negative, while in subsamples, the average rates of return are essentially positive; (2) there are no significant differences in average daily rates between years. …

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