THE INDEX EFFECT ON THE POLISH EQUITY MARKET BASED ON THE EXAMPLE OF THE WIG20 INDEX

Abstract

The aim of this article is to examine, on the example of companies whose shares are to be included into the WIG20 index portfolio, whether the index effect occurs on the Polish stock market. Based on the study event conducted in 2010–2014 (first quarter) it was demonstrated that abnormal positive returns of new index participants occurred mainly before the announcement of the information about the new index composition. Cumulative abnormal returns were observed for 9 out of 11 analysed companies and the average cumulative abnormal return amounted to 3.38%. This means that on the Polish stock market, like on the foreign markets examined earlier, there is an anomaly in the form of the index effect.

Keywords

• index effect
• event study
• WIG20 index