(IN)EFFECTIVENESS OF CAPITAL MARKET AND ANOMALIES IN VALUE AT RISK DISTRIBUTION IN TIME

This paper aims at verifying whether potential anomalies in return rates as reflected in the behavior of Value at Risk. VaR determinants are modelled here on the data of Warsaw Stock Exchange, 2010 to 2014 and the WIG30 index in particular. The month-of-the-year effect is the most negative and expli...

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Bibliographic Details
Published inAktualʹni problemy ekonomiky no. 174; p. 332
Main Authors Mentel, Grzegorz, Radwanski, Ryszard
Format Journal Article
LanguageEnglish
Published Kiev Natsional'na Akademiya Upravlinnya / National Academy of Management 01.12.2015
Subjects
Capital markets
Rates of return
Risk exposure
Stock exchanges
Studies
Poland
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Summary:This paper aims at verifying whether potential anomalies in return rates as reflected in the behavior of Value at Risk. VaR determinants are modelled here on the data of Warsaw Stock Exchange, 2010 to 2014 and the WIG30 index in particular. The month-of-the-year effect is the most negative and explicit for September data. In terms of commercial weeks, the highest probable losses are observed for the 5th group, or the turn of the month. And the day-of-the-week effect is hard to determine.
ISSN:1993-6788