Slawomir, Pijanowski (2006) Is the Polish Stock Market Weak Form Efficient? International Journal of Banking and Finance (IJBF) (3-4(S)). pp. 33-61. ISSN 1675-7227

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Abstract

This paper explores the definition of predictability of Warsaw Stock Index returns by using measures elaborated in Shannon-Mazur’s cybernetic information theory, potentially a new approach to understand capital market informational efficiency.The main message of this research is that the use of information theory methods may shed new light on the applicability of weak-form efficiency tests and the phenomenon of return unpredictability. Cybernetic interpretation in answering the question about market returns predictability and, in retrospect, may contribute to the discussion on the predictability tests of market returns.

Item Type:	Article
Uncontrolled Keywords:	Cybernetic information theory, weak form efficiency, price predictability
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	01 Nov 2018 01:17
Last Modified:	01 Nov 2018 01:17
URI:	https://repo.uum.edu.my/id/eprint/25105

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