Warunki rynkowe a krótkookresowe możliwości prognostyczne na polskiej giełdzie papierów wartościowych

Abstract

Purpose – Verifying that market conditions are related to the ability to provide effective forecasts on the Polish stock exchange in the short-term. Research method – A Quenouille autocorrelation test was applied to verify the occurrence of correlations between returns in sub‑periods. Market conditions were determined: boom/bust market, bull, bear and normal periods, the occurrence of a crisis and the level of volatility. The χ2 test and the rho‑Spearman correlation coefficient were used to assess the strength, direction and significance of the relationship between market conditions and the ability to forecast future returns. Results – Sub‑periods of significant correlations between WIG returns were found. Forecasting opportunities increased during boom periods, bull markets and periods of higher market volatility. Prognostic possibilities decreased during bust, normal and crisis periods. Originality / value / implications / recommendations – A description of how market conditions can be determined and an indication during which market conditions the chances of determining successful investment forecasts on the Polish stock market increase or decrease are provided.