The paper looks at seasonality effects displayed by share prices on the Warsaw Stock Exchange (WSE). The analysis covers four WSE indices and 30 selected companies. The author uses methods that make it possible to determine the 'generalized autoregressive conditional heteroskedasticity' (GARCH) of financial instruments in terms of their rates of return. On the basis of his analysis, he concludes that, first of all, there is a visible 'Thursday effect' as well as a 'Friday effect' on the Polish stock market. On Thursdays and Fridays, the return on stock investments is generally higher than on other days of the week. Second, it is also possible to identify a 'December effect' and a 'January effect', though their importance varies from one market segment to another. Third, these calendar effects apply to a greater extent to the WSE's indices rather than individual share prices. Fourth, from an economic point of view, the role of the calendar effects is limited and they are too insignificant to form the basis of a viable investment strategy.
Financed by the National Centre for Research and Development under grant No. SP/I/1/77065/10 by the strategic scientific research and experimental development program:
SYNAT - “Interdisciplinary System for Interactive Scientific and Scientific-Technical Information”.