Transakcje insiderów na GPW w Warszawie a efektywność rynku
Insider Trading on the Warsaw Stock Exchange and Market Efficiency

Summary/Abstract: The strong form of the efficient market hypotesis (EMH) asserts that all available public and private information is fully reflected in a security's market price. Therefore, in the long term no individual can achive better that avarage stock returns (on a risk-adjusted basis) thanks to monopolistic access to information. One possible test of the strong form is to check if insiders earn above avarage profits from their transactions on a stock exchange. This paper examines insider profits on a random sample of insider transactions on Warsaw Stock Exchange (WSE) between March 2009 and February 2010. Insider profits were compared with the appropriate WSE index return. Nonparametric methods were used because stock return distributions usually do not follow normal distribution (due to leptokurtosis and skewness). The results show that insiders are able to outperform the market. This is especially true in the sort-term horizon (one month after transacion). Thus, the results do not support the strong form of EMH.

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