DOCHODOWOŚĆ DŁUGOTERMINOWYCH STRATEGII ARBITRAŻOWYCH NA GIEŁDZIE PAPIERÓW WARTOŚCIOWYCH W WARSZAWIE NA PRZYKŁADZIE KONTRAKTÓW TERMINOWYCH NA INDEKS WIG20
PROFITABILITY OF ARBITRAGE STRATEGIES ON THE WARSAW STOCK EXCHANGE ON THE EXAMPLE OF THE FUTURES CONTRACTS FOR THE WIG20 INDEX

Summary/Abstract: Purpose.The main purpose of the article is to analyze the profitability of arbitrage transaction on the Warsaw Stock Exchange.Methodology. The main hypothesis verified in the article assumes that on the Warsaw Stock Exchange can be realised profitable arbitrage transactions whose profitability exceed risk-free return. The archive quotations of futures contracts for the WIG20 index were used for its verification. The research period covered the years 2007-2017. The article examines the case of applying the arbitration strategy called cash-and-carry. Valuation of the theoretical value of future contracts was made on the basis of the currently used methodology. The profitability of the arbitration strategies was determined for 12-month time horizon.Findings. The obtained results have shown that the Warsaw Stock Exchange offers regular opportunities to enter into arbitrage transactions that guarantee a profit over the risk-free rate.

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