Title:

Impact of changes in composition of exchange price index shares of listed Polish companies

Group publication title:

Financial Sciences. Nauki o Finansach

Title in english:

Wpływ zmiany indeksu giełdowego na cenę akcji polskich spółek giełdowych

Creator:

Wańczyk, Krzysztof

Subject and Keywords:

stock market index ; Stock Exchange in Warsaw ; capital market ; investment strategy ; indeks giełdowy ; Giełda Papierów Wartościowych w Warszawie ; rynek kapitałowy ; strategia inwestycyjna

Description:

Financial Sciences. Nauki o Finansach, 2018, vol. 23, no. 3, s. 111-121

Abstrakt:

The aim of the article is to analyse the change in the quotations of Polish listed companies, which change the stock exchange index as part of the periodic change in the composition of the WIG20, mWIG40 and sWIG80 stock market indices. The research methodology uses abnormal return (AR) based on daily logarithmic rates of return of Polish listed companies and daily logarithmic rates of return on the stock market indices (WIG20, mWIG40, sWIG80). In this way, they defined the relative strength of listed shares in relation to the stock indices revision a month before the composition of the stock index, when the drawn up list of companies is changing the composition of the index. In addition, the relative strength of quoted shares in relation to stock exchange indices after the revision of the composition of the stock exchange index in the short-term (one month) and medium-term perspective (six months) was examined. The research was based on quarterly changes in the composition of stock exchange indices in the years 2010-2015. The analyses carried out indicate the existence of positive surplus stock returns a month before the change in the stock index. The average number of quotes of these companies above the stock market index at the time amounted to +0.52 percentage points. In turn, the average increase in the prices of the debuting companies in the new stock exchange index within 6 months after their flotation it amounted to +0.97 percentage points over the benchmark (WIG20, mWIG40, sWIG80)

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/fins.2018.3.09

Language:

eng

Relation:

Financial Sciences. Nauki o Finansach, 2018, vol. 23, no. 3

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu