Title:

Testing for informational efficiency on the Polish energy market

Group publication title:

Ekonometria = Econometrics

Title in english:

Testowanie efektywności informacyjnej na polskim rynku energii

Creator:

Włodarczyk, Aneta ; Mesjasz-Lech, Agata

Subject and Keywords:

Efficient Market Hypothesis ; variance ratio test ; unit root test ; R/S analysis ; energy market ; Hipoteza Efektywności Rynku ; test ilorazu wiarygodności ; test pierwiastka jednostkowego ; rynek energii

Description:

Ekonometria = Econometrics, 2012, Nr 1 (35), s. 44-59

Abstrakt:

In this paper authors made a revision of the chosen statistical tests verifying the hypothesis of the weak-form market efficiency and then these methods were applied to the Polish Power Exchange in the period 2007–2010. Unit root test verifying the assumption about stationarity of analyzed time series were conducted before testing the weak market efficiency. In the empirical studies the variance ratio test, the runs test and the long-range dependences tests were used and the results of above-mentioned tests showed that daily electricity price returns in Polish Power Exchange from January 2007 to December 2010 do not have the random nature

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2012

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Ekonometria = Econometrics, 2012, Nr 1 (35)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu