ANOMALIE KALENDARZOWE NA GIEŁDZIE PAPIERÓW WARTOŚCIOWYCH W WARSZAWIE
CALENDAR ANOMALIES ON THE STOCK EXCHANGE IN WARSAW

Summary/Abstract: Article devoted to the subject of behavioral finance in the context of popular calendar anomalies. The authors attempt to verify the hypothesis of efficient market, according to which the securities prices fully reflect all available information about them, and the rational behavior of market participants calendar effects should not result in positive returns for investors. In order to test the hypothesis used two effects: the day of the week and month of the year, examining daily and monthly returns for given phenomena. The study used data on the five indexes of the Stock Exchange in Warsaw (WIG, WIG20, wig30, mWIG40 and sWIG80) the period from January 2011 to October 2016 year. As a result of analysis did not reveal clearly the occurrence of calendar effects in the sample.

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