6

Qualitative Research in Financial Markets
Assessment of cross-border implications of economic and financial information for

central European emerging stock market of Poland in times of the current financial
crisis
Lukasz Prorokowski
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Qualitative Research in Financial Markets, Vol. 4 Iss 1 pp. 36 - 67
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QRFM
4,1 Assessment of cross-border
implications of economic and
financial information for central
36
European emerging stock market
Received December 2010
Revised March 2011
of Poland in times of the
Accepted April 2011
current financial crisis
Lukasz Prorokowski
Graduate Business School, University of Aberdeen, Aberdeen, UK
Abstract
Purpose The current paper aims to expand an empirical assessment of correlations of the stock
exchange in Poland with other stock markets and foreign economies. The paper attempts to explore
international spillover effects during the current financial crisis.
Design/methodology/approach The study builds upon questionnaires and interviews with
practitioners associated with the Polish stock market. The interviewees represent both the advanced
and emerging European economies. At this point, analyzing the notions of a cross-section of experts
from different geographical regions increases the value of the findings. The interviewees were asked to
comment on a wide range of examples mirroring the reaction of the Warsaw Stock Exchange (WSE) to
economic and financial information derived from foreign markets in times of the current financial
crisis. An empirical model evaluating the cross-border implications for the Polish stock market was
specified. The model encompassed a wide range of variables and events influencing the performance
of the Polish stock market and investors uncertainty during the nascent financial crisis.
Semi-structured interviews complemented the quantitatively obtained findings and allowed for a gap
between theory and practice to be bridged. The qualitative approach injected a dose of realism into the
empirical model utilized in the paper and contributed to the value of general findings.
Findings The current paper reports initial responses of the WIG20 indexed equity prices to 41
economic and financial information sets, originating from systemically significant markets. The
influence of these sets is ranked in accordance with their influential powers. The ranking indicates
which information events are more likely to be prioritized by investors associated with the WSE and
which news are ignored in times of the current financial crisis. Henceforth, the findings outline the
crisis-induced changes in the uncertainty of equity investors and the implications for investment
decision making processes. Comparing the responses to economic and financial information sets
among different stock markets and industries delivers insight into the profitability of the international
portfolio diversification based on either the country or industry specific factors.
Originality/value The paper focuses on the Polish stock market, which is relatively
under-researched by the existing body of literate. However, Polands stock market became a
leading central European bourse during the current financial crisis. Reporting a number of useful and
important implications for the practitioners associated with the WSE constitutes the core value of the
paper.
Qualitative Research in Financial Keywords Poland, Stock exchanges, Financial markets, Warsaw stock exchange, Financial crisis,
Markets
Vol. 4 No. 1, 2012 Equity investments, Central European emerging stock markets, Polish financial market,
pp. 36-67 Cross-border financial spillovers, Economic information
q Emerald Group Publishing Limited
1755-4179 Paper type Research paper
DOI 10.1108/17554171211213540
1. Introduction and brief literature review Emerging stock
Analyses of stock price movements have been given a wide consideration in the existing market of Poland
literature. To date, numerous studies have attempted to shed light on factors stimulating
surges and plunges of equity prices. However, the existing literature did not focus on the
cross-border implications of economic information for equity prices in times of global
financial crises. Against this backdrop, stock markets witnessed several events of financial
distress that thanks to their abruptness, magnitude, tenure and intensity earned their 37
own names; Asian Flu, Tequila Effect, Dot.com bubble, Russian Cold, with the
nascent global financial crisis dubbed Credit Crunch. Each of these events referred to an
increased level of volatility of equity prices, and hence investors uncertainty. At this point,
it is assumed that certain economic and financial information may have a dramatic
influence on a stock markets performance in times of financial crises. With this in mind, the
researchers in behavioral finance DeLong et al. (1990), Shleifer and Vishny (1997) and
Baker and Wurgler (2007) indicated that equity investors experienced problems with
estimating prospective price movements in times of global financial crises. On this
occasion, several models were employed in order to measure reactions of stock prices to
certain events that, according to Shleifer and Vishny (1997), affected investors expectations
of investments risks and future cash flows. This paper attempts to augment the analysis of
factors influencing stock prices with an alternative model assessing responses of equity
prices to economic information generated by both foreign and domestic markets.
Against the background of recent financial crises, the existing academic literature
shifted its focus on providing explanations for biases in investors approaches to equity
investments in an attempt to investigate how practitioners reacted to fundamentals.
At this point, Guiso et al. (2008), Baker and Wurgler (2007) and Shefrin (2005) provided
broad and irrefutable assumptions for investors behavior in times of financial distress
and trading frictions. These assumptions are utilized in the current paper, which tests
the strength of stock price responses to economic and financial information in a volatile
investment environment when investors overreact or underreact to similar economic
news in accordance with their sentiment concerning particular stock market situations.
To this point, setting the research against the background of the current financial crisis
may deliver novel and interesting findings due to the crisis-induced changeability
of the investment environment affecting investors moods. Hereto, the current paper
distinguishes between two types of investors mood influenced by exogenous factors:
optimism and pessimism about equity investments at certain points of time. The
differentiation follows the methodology adopted in a well-known strand of literature
devoted to the analyses of variances in investors opinions (Baker and Wurgler, 2007;
Daniel et al., 1998; Barberis et al., 1998; Miller, 1977). The pioneering study of
Miller (1977) sparked off an academic debate on discrepancies in investors reactions to
the same information. The author found that the difference of investors opinions about
equity investments could be large when met with volatility of stock prices. Nonetheless,
the above mentioned studies focused on advanced stock markets of Western Europe
and the USA, overlooking the cases of Central European emerging stock markets
(CEESMs). The current paper is designed to fill in the existing gap in academic literature
against this setting, by reporting findings encompassing equity investors associated
with the Warsaw Stock Exchange (WSE) in Poland.
Since the current paper is designed to provide insights into the reaction of the stock
market in times of the increased volatility and investors uncertainty, the findings
QRFM reported in the study may provide a new perspective of the predictability of stock price
4,1 movements in the CEESM of Poland. The paper embarks on a recognized set of scholarly
literature devoted to the analysis of stock price predictability, and hence contributes to
the academic discussion on the ability of equity investors to predict stock price
movements. Hereto, understanding the forecastability remains unexploited as the
studies document evidence either supporting (Lettau and Van Nieuwerburgh, 2008;
38 Cohen and Frazzini, 2008) or undermining the existence of stock price predictability
(Menzly et al., 2004; Fama and Schwert, 1977; Keim and Stambaugh, 1986). The current
paper attempts to reconcile these two opposing camps in the existing literature by
providing evidence suggesting that the responses of equity prices to economic and
financial information may be predicted to an extent that allows a successful trading
strategy to be adjusted to the available news. Furthermore, the paper resembles traits of
a pioneering approach toward measuring stock price predictability. Previous studies
have focused on measuring predictive powers of such variables as the cyclical variations
(Constantinides, 1990; Campbell and Cochrane, 1999), macroeconomic fundamentals
such as output and inflation (Campbell et al., 1997; Hodrick, 1992), dividend yields (Goyal
and Welch, 1999; Cochrane, 1997), and speculative attacks (Kaminsky and Reinhart,
2003). However, the predictive powers of economic and financial information available
to equity investors associated with the CEESM of Poland remain relatively
under-researched.
Analyzing stock price responses to a wide range of economic and financial
information included in the study allows similar conclusions to the pivotal study in this
area, conducted by Sundarsean (1989), to be reached. Sundarsean (1989) claimed that
main macroeconomic indicators possess forecasting powers on stock returns. With
reference to the study by Sundarsean (1989), the current paper adopts a modified
approach towards analyzing the relations between economic information and equity
prices in times of the global financial crisis. At this point, a vast scholarly literature
represented by Reinhart and Rogoff (2008), Demirguc-Kunt and Detragiache (1998),
Kaminsky and Reinhart (2003) and Domac and Martinez (2003) investigated financial
crises among advanced and emerging stock markets and documented their impact on
real economies. To date, researches striving to identify more systematic inferences from
stock behavior and macro-data remain limited, represented by few exemplary studies
conducted by Hoelscher and Quintyn (2003), Honohan and Klingebiel (2003), Yuan
(2005) and Laeven and Valencia (2008). As such, the findings reported in the current
paper may become of great importance to stock market practitioners. Moreover,
investigating the influence of economic information derived from systemically
important economies on equity prices in the Polish stock market is not only a pioneering
attempt to fill in the gap in existing literature, but also an attempt to bridge theory and
practice with findings that would be useful for equity investors associated with
CEESMs.
The current paper also addresses the problem of the absence of academic literature
devoted to analyzing equity investments in CEESMs and performance of these markets
in times of financial crises (escalated by Schroder, 2000; Claessens et al., 2003;
Middleton et al., 2006). The authors stressed that international investors became
interested in equity investments in the Polish stock market since the early 1990s, and
hence they required information concerning the predictability of Polish equity prices,
which is delivered by the current paper. The choice for the Polish stock market
as a research target for the current paper was motivated by the fact that the WSE Emerging stock
became the leading Central European bourse, attracting throngs of foreign equity market of Poland
investors in years 2007-2010. In times of the current financial crisis, the WSE was
ranked first among other Central European stock markets in terms of the number of
Initial Public Offerings (IPOs) and market capitalization. In October 2008, the Polish
stock market was promoted by the FTSE Index Company one of the largest financial
institution calculating indices for 120,000 markets to the status of an advanced 39
emerging stock market (WSE Factbook, 2009). Furthermore, Middleton et al. (2006)
argued that none of the post-communist markets evolved at such rapid pace with such
well organized stock market offering a large variety of investment products.
In comparison, none of the neighboring stock exchanges in Central Europe reached the
same level of liquidity and transparency. Contrary to its international status, aspects of
functioning and investing in the CEESMs of Poland remain under-researched, as the
existing literature tends to prioritize advanced stock markets overlooking the analysis
of the equity prices responses to variables constituting economic and financial
information in emerging Europe. To this point, the decision of focusing on the WSE
reflected the growing importance of this market for international investors and the
need for studies explaining the performance of the Polish equity prices and advising on
international portfolio diversification.
As far as the aspects of international portfolio diversification are concerned, the
current paper, utilizing the views of institutional investors involved in trading equities in
Polish stock market and an empirical model, advises whether international equity
investors should consider country or industry specific factors while approaching
investments in the Polish stock market during the global financial crisis. With this end in
view, the paper contributes to the academic literature devoted to investigating
international portfolio diversification processes represented by the cornerstone study of
Markowitz (1952), who sparked off later studies and empirical analyses of the above
mentioned phenomenon. Hereto, country and industry specific factors determined the
magnitude of gains available from investing in emerging stock markets. Although the
academic literature in this field of studies is dominated by conflicting results starting
from the pioneer research by Lessard (1974) to the most recent analysis by Middleton
et al. (2007) it highlights that returns from emerging stock markets are subject to
industry influence Fifield et al. (2001). Insofar as times of global financial crises are
concerned, interesting results have been delivered by the study conducted by Wang
(2001). The author examines the performance of equities from global emerging stock
markets during the Asian Flu crisis in the years 1996-1997. During the period of the
Asian financial crisis the majority of investors backed their decisions with
country-correlation, which resulted in the decay of the importance of industry factors.
To summarize, the purpose and desired scholarly contribution of the current paper is
not limited to merely a detailed analysis of correlations between advanced and emerging
stock markets in times of the global financial crisis. In addition to this, the following
study aims at investigating cross-border spillover effects and implications of certain
economic and financial information for equity prices in a relatively under-researched
market that is believed to display non-connectivity with its counterparts representing
advanced stock exchanges. Although investigating the connectivity of emerging stock
markets to systemically important advanced investment hubs may seem counterfactual,
the impact of the current financial crisis on the cross-market correlations is measured
QRFM as the stock markets and economies were unevenly affected by the global financial crisis,
4,1 and therefore providing opportunities for international portfolio diversification.
Moreover, the following study departs from the common assessment of correlations
between stock markets in terms of reaction to certain economic and financial
information sets originating from systemically important markets. Against this
backdrop, the paper attempts to measure the crisis-induced changes to equity investors
40 uncertainty and explain the factors causing stock market practitioners to over-react or
neglect certain information sets. The paper provides insights into the functioning of the
Polish stock exchange and ways economic and financial information is disseminated
among investors. The paper also aims to paint a picture of the challenges and barriers
experienced by international and domestic investors associated with investing in
Polish equities. This allows for a contemporary depiction of the Polish stock market
to be presented. Furthermore, as the current existing body of academic literature has
overlooked the investment process in Central Europe, this depiction has become
necessary. To this point, the findings presented in the current paper gains significance,
as international investors are shifting their funds from the politically unstable markets
of North Africa to other emerging stock markets. With this end in view, the paper aims to
produce findings that might bear useful advice and practical implications for investors
willing to diversify their portfolios with Polish equities.
The remainder of this paper consists of a methodology chapter, in which details of
the qualitative and quantitative studies are discussed, followed by presentations of the
findings. The findings are then summarized with principal conclusions and practical
implications. Appendices to the paper are included at the end of the reference list.
2. Methodology
2.1 Qualitative research methods
Despite general difficulties of factoring the qualitative data into the empirical model
employed in the current paper, combining both qualitative and quantitative research
methods proved necessary as it allowed the empirical model to fit the reality and
practical implications from results to be specified. At this point, the paper builds on
interviews with a cross-section of institutional investors and practitioners who were
associated with the WSE and possessed an extensive experience and knowledge of
equity investments in CEESM. As a result, interesting findings could be ascertained
with reference to the area that remained under-research. Furthermore, the interviews
addressed issues not covered by the empirical model by complementing the current
paper with significant observations and explanations. Therefore, the paper could
report findings that adequately bridged the gap between theory and practice.
As mentioned in the above paragraph, a cross-section of experts was
selected for semi-structured interviews. Namely stock market practitioners located in
the UK and Poland and associated with the WSE who thanks to their competences
and experience could provide valuable insights into the research topic. Moreover,
combining the views expressed by the practitioners representing domestic and foreign
markets enabled an extension of the viewpoint on cross-border implications of
economic and financial information. The interviewees were assured of their anonymity
and to protect this, their names were replaced by unique codes. Their notions are
presented in a form of quotations with the corresponding interviewees code assigned.
Due to a careful selection of the interviewees and time constraints the current paper
embraced views of 18 individuals investment fund managers, financial supervisory Emerging stock
authorities, investment advisors and stock market analysts. Table AI (Appendix) market of Poland
contains details of the interviewed practitioners.
The semi-structured interviews took place in the UK and Poland during the months
between and including June and December 2010. There were four rounds of interviews,
with each round held in the following months: June, August, October, December, in
order to capture up-to-date information provided by the interviewees. During the 41
interviews, they were asked to point out and comment on the events which referred to
the examples of stock price responses to economic and financial information sets. The
practitioners were familiarized with the purpose and area of the study during the first
round of the interviews in June 2010. Furthermore, the structure of the interviews
allowed for some guidance of the interviewees, injecting a greater insight into the
matter being investigated. The interviews lasted approximately 60-80 minutes.
Transcripts of the recorded conversations were made within 24 hours of the completion
of each interview. The structure of the interviews and immediate analyses of the
results allowed for any further questions to be followed up in a timely manner.
2.2 Quantitative research methods

The review of previous studies in this area suggests that an empirical model evaluating
the responses of the WSE equity prices to various sets of economic and financial
information can be feasibly specified and applied to the current paper. For this study,
a simple linear equation was estimated in order to measure the susceptibility of the WSE
to differentiated economic information in times of the global financial crisis. The
empirical equation is designed to create a ranking of events influencing the Polish stock
market in accordance with their strength of influential powers. The events consisted of a
wide range of economic and financial information sets that were available to equity
investors at specific dates and affected stock prices of sampled investee companies. The
factors and insights into information sets were provided by the interviewed
practitioners and are presented in Table AII. The empirical sample consists of
20 liquid assets of blue-chip companies selected in accordance with their turnover
volumes and market capitalization figures. Refer to Table AIII for the nominated
companies included in the empirical sample.
The methodology of the subsequent ranking is based on a simple linear model.
Hereto, a reaction to certain information was measured by the daily performance of the
WSE Index grouping twenty of the largest and most liquid companies (WIG20 Index).
Focusing on the WIG20 indexed companies excluded thinly traded equities from which
prices were determined by small amount of transactions, and hence may be subject to
speculative attacks or investment decisions not influenced by the analyzed economic
information. At this point, each percentage point of stock prices was allocated a score.
A change of 1 percent in the WIG20 equity price resulted in 1 point of strength being
given to the analyzed factor. Similarly, a change of 2 1 percent was converted to
negative values of the total score. As a result, negative scores corresponded with the
strength of influential powers that caused plunges in equity prices. On the other hand,
positive values mirrored the strength of factors that caused surges of equity prices.
An attempt was made to separate the instances when only one factor influenced the
performance of the WIG20 Index. This eliminated the emergence of biased results
which could be derived from a situation where several factors occur at the same time.
QRFM Given the period of analyses which encompassed a part of the current financial crisis,
4,1 an additional dummy variable was created to illustrate investment environment.
Adding a dummy variable was requested by the interviewed practitioners, who argued
that in times of global financial crisis investors became more risk averse and hence
susceptible to new information. To this point, the interviewed practitioners highlighted
the skepticism predominating equity investors during the current financial crisis.
42 According to the interviewees, this skepticism weakened the influence of positive
economic information and caused overreaction to negative events influencing the
Polish stock market. Eventually, control variables were incorporated in the equation in
order to enable the model to fit the reality:
Y1 a C1 bN1 11 1
Y1 denotes the total score measuring the extracted influential power of an
investigated event 1. Higher scores indicated that stronger influence was exerted by
the analyzed event 1 on the performance of the WSE a reaction of WIG20 indexed
equity prices. Response of the WIG20 investee companies, expressed as a daily
percentage change of their equity prices, is denoted by C1. Variable N1 reflects the
mood of investors. It is a control variable that equals (2 1) to (1) in times of the global
financial crisis. During the bull market N1 equals (max. 1) to illustrate investors
appetite for risk. N1 is derived from recalibration of the ZEW/Erste Group Bank
Sentiment Indicator for Central and Eastern European emerging stock markets (Centre
for European Economic Research, 2010). To this point, N1 values depended on
investment environment in Poland at the specific time when the investigated event
occurred. Since variable C1 already includes the N1 values, the latter must be
extracted in order to achieve an unbiased rating score Y1. In doing so, the model
allows for b, which is the antagonistic constant coefficient equaled to 2 1.
Henceforth, the total score measures the strength of information sets only. Nonetheless,
variable C1 remain significant as it tests for the responses of equity prices during
specific crisis-induced investment environments:
" #
X
20
C1 AVG DP 1 n*100% 2
n1
where C is derived from a daily change of stock price P of the WIG20 Index
investee company n caused by the information 1. Hereto, the WIG20 Index
encompasses 20 of the most liquid blue-chip companies. Their stock prices Pn are
denominated in EUR (Euro) currency. The daily change D of equity prices is
converted to a percentage change and then averaged for all constituents of the WIG20
Index. N1 values were computed utilizing the following equation:
DES1 DEES1 *100%

N1 DWIG201 *100% [ 21; 1 3
10
where ES1 is a percentage change of the ZEW current economic situation variable
recalibrated by dividing the ZEW points by 10 in a specific month when the
investigated event 1 occurred. Similarly E(ES)1 is derived from a monthly change in
the ZEW economic expectations variable divided by 10 to fit the calibration.
Additionally, a weekly percentage change of the WIG20 Index value prior the Emerging stock
occurrence of event 1 is incorporated to test for periods of bear and bull markets market of Poland
affecting investment environment at the WSE. However, the N1 interval takes the
maximum value of 1, and the minimum value of 2 1. If the results achieved from the
above equations exceeded these values, they were marked down to either 1 or 2 1.
Ultimately, Table AIV reports Y,C and N values for particular information
event 1. Table AIV also presents industrial breakdown of these values in order to 43
provide insights into issues connected with international portfolio diversification that
includes but is not limited to industry specific factors for investment decision making
processes. Additional insights into the diversification processes embarking on country
specific factors were provided by the interviewed practitioners.
All in all, what distinguishes this paper from other empirical assessment of stock
price predictability is the methodological approach developed to broaden the findings
reported in the following paragraphs. Academics tend to utilize impulse response

functions and vectors of auto-regression in order to capture and explain existing
cross-border implications for equity prices. However, these models have their
limitations affecting the quality of findings or focusing on narrow aspects of the
functioning of stock markets failing to provide broad practical implications. By
combining both the qualitative and quantitative research methods the common
limitations were eliminated, which allowed for the findings to fit the investment reality.
Hereto, the quantitative framework was modified in order to deliver useful findings
and still have its roots in an appropriate base of theory outlined in the previous
empirical studies on the matter.
To recapitulate, such specified methodology mirrors the purpose of the following study
to expand the empirical assessment of cross-correlations of stock markets and economies
beyond quantitative comparisons of stock prices reactions to certain economic and
financial information. The unique methodological approach scooped information
concerning the functioning of the Polish stock market, financial crisis-affected
uncertainty of equity investors, information availability and dependency of the WSE on
economic and financial developments in systemically important markets. Furthermore,
there are a scarce number of academic studies that build their arguments on both the
qualitative and quantitative methods. To this point, the current paper underlines the
advantages of a novel and burgeoning methodological design.
The empirical model encompassed a wide range of variables constituting diversified
examples of financial and economic information sets. Hereto, the uniqueness of the
selected variables makes the study an interesting contribution to the existing literature.
Setting the research sample against the background of the global financial crisis allowed
for grouping and analyzing of events that only corresponded to times of economic
downturn, global financial turmoil and financial crisis-recovery. Since the world is, at
this point in time, still on a recovery path from the current global financial crisis, the
empirical findings coupled with insights provided by the interviewed practitioners gain
in significance, indicating downside risks that may still affect stock markets and equity
investors. High versatility of the empirical model enables adopting the methodology
to investigate other stock markets and circumstances. Moreover, the model is being
extended to cover a longer period of analyses spanning the years of 2008-2012.
This paper brings forward an explanatory introduction to the extensive study
QRFM on non-connectivity with regard to wider markets and quantitative assessment of
4,1 correlations between advanced and emerging stock markets in a projected view.
3. Findings
Since the empirical results delivered by the linear equation indicated that the WIG20
Index reacted differently to various economic events during the current financial crisis,
44 the interviewed practitioners were asked to comment on selected factors that
influenced the performance of the Polish stock market. The interviewed practitioners
responded by arguing that the impact of negative economic information generated in
USA can reverse a long lasting upward trend in equity prices. The interviewees
suggested that Polish equity prices became particularly receptive to macroeconomic
indicators of USA in times of the current financial crisis. On 27 July 2010 [EV14],
investors associated with the WSE received disappointing information about the US
Consumer Confidence Index evaluating the degree of consumers optimism towards US

economy and their personal financial circumstances:
The publication of this information by the US Conference Board created the grounds for fears
that US economy fell in stagnation. However, unlike the WSE, advanced stock markets of
Western Europe performed well on the 27th July 2010. This anomaly suggested that the Polish
stock market became more receptive to cross-border implications of economic information from
USA than its counterparts from Western Europe, which prioritized domestic information over
the macroeconomic news concerning the USA. In Poland, however, positive domestic
information concerning financial reports of the WIG20 investee companies was inferior to the
disappointing news about US economy. This might be explained by the fact that the investors
expectations about positive financial statements published by Polish blue-chip companies were
already incorporated in their equity prices (AA05; similar views: AA01, AA09, AB12, AB13).
Similar cross-border implications to the US Consumer Confidence Index were
generated by the publications of the US ISM Manufacturing Index [EV37]. The
interviewed practitioners also pointed to the similarities of the equity price responses
to the ISM and PMI indices:
The former monitors conditions of the US manufacturing sector and provides insights into
the corporate profits and national economic situation for equity investors. The latter, focused
on the Euro Area members, is an indicator of industrial production (AA06; similar views:
AA09, AB15).
On 5 October 2010 investors were provided with updates concerning the ISM Index.
These updates turned out to be better than expected, and investors became less risk
averse toward equity investments on the Polish stock market. As a result, WIG20
Index grew by 1.26 percent in its value.
A further example of the impact of economic information stemming from USA on the
performance of the Polish stock market was illustrated by events on 24 June 2010 [EV11].
On that day the WIG20 Index fell by 2.08 percent. The interviewed practitioners related
the poor performance of the WSE to information from the US real estate market that
disappointed investors:
To this point, the announced number of sold houses in the USA during May 2010 was
significantly smaller than anticipated. Investors expected 420,000 houses to be sold, contrast
to 300,000 of actual figures reflecting the sales. This pessimistic information affected both the
Wall Street and the Polish stock market (AB17; similar views: AA01, AA09, AB10).
As a result of this investment environment, none of the investee companies included in Emerging stock
the WIG20 Index recorded an increase in equity prices on 24 June 2010. On the other market of Poland
hand, positive information concerning the US real estate market caused surges of
Polish equity prices. The interviewed practitioners indicated the strong impulse
triggered by the information that the number of houses being built in the USA
increased in August 2010 [EV30]:
That information was unearthed on the 21st September 2010 and spurred on equity investors 45
associated with the WSE to launch new investments. Hereto, an increased investors
activity the WSE turnover volume exceeding PLN 2.3 bln was coupled with surges in
equity prices (AB10; similar views: AA02, AA05, AB13).
Against this backdrop, the interviewed practitioners stressed that the Western
European advanced stock markets did not display an improved performance based on
the information concerning the US real estate market:
Furthermore, the US stock market did not react positively to the new information and its main
stock indices were still in the red while the WIG20 Index value increased by 1.36% (AB13).
The interviewed practitioners mentioned an additional example concerning the strong
implications of the US real estate market situation in August 2010 [EV22]. On
24 August 2010, press reports from the US real estate market negatively surprised
international investors. It turned out that significantly fewer houses were sold than
expected:
At this point, equity investors abandoned the Polish stock market for fear of the global
economy and negative information stemming from the US real estate market. After
familiarizing themselves with the recent developments in the USA, equity investors in
Europe began to target safe investments such as sovereign bonds. Main stock indices of the
advanced markets in Western Europe fell by 2% and WIG20 Index by 2.25% that day (AA06;
similar views: AA02, AA04, AB10, AB11).
The powerful influence of the economic news originating from the USA was
acknowledged by the interviewed practitioners. The interviewees argued at this time
that positive economic information from USA could reverse the downward trends in
equity prices:
It happened on the 13th of October 2010 and surprised equity investors who expected further
plunges in equity prices in the WSE. However, fuelled by the positive news from the USA, the
WIG20 Index surged by 2.5% in its value and reached new maximum of 2693.08 points. The
stimulating information referred to the FOMC (Federal Open Market Committee) session report
about US monetary policy. The outcomes of this session ensured equity investors that the US
authorities decided to stimulate economy by pumping a lump sum of hard cash into the stock
markets using the sovereign bond repurchase scheme (AB15; similar views: AB18, AA09).
The reaction to this positive news [EV38] was transmitted into surges in prices of
equities and commodities. Henceforth, WIG20 indexed investee companies involved in
processing of raw materials became the most lucrative targets. Furthermore, the
interviewed practitioners suggested that the FOMC report met with improved
investment conditions caused by the economic revival in Europe. To this point, investors
associated with the WSE were further encouraged to launch equity investments by the
fact that industrial production figures for the Euro Area had turned out to be better
than anticipated. The interviewees stressed that the appetite for risk was also enhanced
QRFM by the positive expectations for the quarterly financial reports published by the largest
4,1 companies and banks in the USA.
In times of the current financial crisis, publications of financial statements by the
largest US banks spawned a growing debate about their influence on investors moods.
This impact was also mirrored by the WSE performance on 18 October 2010 [EV40]. At
that date, WIG20 Index grew by 0.35 percent despite the skepticism overwhelming
46 investors associated with the Polish stock market. The interviewed practitioners
related this slight increase to optimistic financial information derived from the USA
the US banks publishing their quarterly financial statements:
The US banking giant Citigroup displayed revenue of USD 2.15 bln for the third quarter
of 2010. In contrast, Citigroup reported a loss of USD 3.24 bln for the third quarter of 2009
(AA05; similar views: AB14, AA09).
According to the interviewees, the improved financial statements of the largest US

companies and banks enhanced optimism among European investors who did not
expect such profits reported by the banking sector in the USA:
Furthermore, the financial reports smothered negative information concerning the production
figures in Poland. It turned out that the Polish production in September fell by 0.2% despite
investors expectations assuming the growth. This information, however, was reflected by
the performance of small cap equities (AB18; similar views: AB12).
The interviewed practitioners adduced yet another example evidencing strong
correlation between the US and Polish stock markets referring to the FEDs decision to
increase the interbank loan interest rates from 0.5 to 0.75 percent [EV2]:
This decision, made on the 19th February 2010, resulted in sharp falls in the values of stock
market indices in emerging markets including Poland and the strengthening of USD to PLN
(2.99), and USD to EUR (1.345) (AB18; similar views: AB14, AA01).
The interviewees explained that such reaction of investors associated with the Polish
stock exchange to the FEDs announcement may be caused by the increased uncertainty
among equity investors who became sensitive to the fact that US government began to
withdraw from stimulating crisis-recovery:
Investors feared that other central banks in emerging countries would take similar
steps and tighten monetary policy. Against this backdrop, Friday session on the WSE
(19th February 2010) resulted in a poor performance of the equities representing banking
sector (AA09; similar views: AA03, AB11).
On this occasion, the interviewed practitioners stressed that equity investors from
Poland treated the US generated information with superiority over the domestic
economic data [EV1]:
Prior to the announcement of higher interbank loan rates by FED, investors achieved
satisfactory information about Polands production which increased by 8.5% contrast to
the expected rise of 6.5%. However, at the same time, equity investors were informed about
the sharp increase of unemployment in USA. To this point, investors ignored good economic
news concerning Poland and adjusted their investments to the negative information
stemming from the US market. Investors began to get rid of risky assets from emerging stock
markets (AB10; similar views: AB11, AB14, AA09).
The interviewed practitioners argued that equity investors ignored local financial Emerging stock
information when contrasted with global information stemming from systemically market of Poland
important economies. At this point, discussing the event that took place on 27 August
2010 [EV24] with the interviewed practitioners confirmed this notion:
Since the opening of the trading session, the WSE did not witness an increased investors
activity. Although Polish investee companies published their quarterly financial reports
indicating a significant improvement of the financial standing, investors remained 47
unaffected by these information sets and awaited the report on US GDP (AA04; similar
views: AA02, AA03).
In the middle of the trading session, the US Department of Trade announced that US
GDP grew by 1.6 percent in the second quarter of 2010. After publicizing this
announcement, main stock indices in Europe began to surge. Public speech delivered
later by the US FED Chief dampened investors spirits, and hence equity prices in
advanced European stock markets then fell, bringing losses to investors. However, the
Polish stock market reacted differently:
WIG20 Index displayed a 1.2% growth of its value on the 27th August 2010 disregarding the
FEDs speech and domestic quarterly financial statements that might be negatively mirrored
in equity prices. All in all, it turned out that investors associated with the Polish stock market
prioritized information concerning US GDP as it became an important factor assessing the
current financial crisis recovery. Otherwise, equity prices would reflect information about
investee companies net profits (AA02; similar views: AA04, AB10, AB16).
The qualitative study provided evidence that the deterioration of the investment
environment caused by overwhelming negative expectations about the US economy in
times of the current financial crisis, did not necessarily repress the influence of the
positive economic information. With this in mind, the interviewed practitioners pointed
to the WSE performance on 17 August 2010 [EV20]:
That day, the investment environment in the Polish stock market was unfavorable. Against
the background of the global financial crisis, the investors moods were dominated by
pessimistic expectations concerning US economy based on former negative news about the
situation of the US real estate market (AA07; similar views: AA01, AA05, AB12, AB14).
The 17 August 2010 had equity investors receiving positive economic information
concerning the US industrial production in July 2010, which turned out to be larger than
expected. This positive news from the USA influenced the main stock indices of
advanced European markets to grow by 1 percent on average. In contrast to its
counterparts from Western Europe, the WIG20 Index grew only by 0.41 percent in its
value. Furthermore, daily price changes from WIG20 investee companies remained
negative (2 0.05 percent on average):
It confirmed the significance and strength of the investment environment in determining
benefits from international portfolio diversification. Hereto, over 50% of investments in
companies encompassed by the WIG20 index did not deliver gains that day (AA05; similar
views: AA03, AA07, AB12, AB14).
According to the interviewees, the influence of negative economic information could be
mitigated only in times of a bull market, when bad information is met with an
increased optimism among equity investors [EV39]. The interviewed practitioners did
QRFM stress that the impact of the negative economic news would be still mirrored by the
4,1 stock prices:
Equity investors trading during the times of an increased optimism and positive expectations
of the stock market performance would prioritize positive signs and company-specific news
that would have implications for a growth in equity prices (AB14; similar views: AA05, AA09).
48 The interviewed practitioners related these assumptions to the events that took place
on 15 October 2010 [EV39]:
That day, equity investors associated with the Polish stock market received disappointing
news from the USA. It turned out that the Michigan Consumer Sentiment Index fell in a
contrary to investors expectations. This event dampened investors moods and caused the
WIG20 Index to fall by 0.85% in its value. However, companies that announced information
indicating improvement in financial standing or launching new investments became resistant
to the negative moods predominating among equity investors (AB17; similar views: AA05,
AA09, AB11, AB12).
In times of increased stock market volatility when periods of bull markets intermingle
with times of bear markets at relatively short intervals, economic information could
potentially lose impact. This assumption was evidenced by the events that took place
on 4 October 2010 [EV36]. Against the background of a temporary bull market,
negative economic information originating from the USA did not affect equity prices in
the Polish stock market. Commenting on that event, the interviewees pointed to the
paradox of financial crises when information concerning falling numbers of orders for
US industrial production was believed by the stock markets practitioners to urge
monetary authorities to inject more cash into financial markets in order to sustain
economic growth and fight the adverse effects of the global economic downturn:
At this point, the information about low numbers of orders for industrial goods in the USA met
with the expectations of equity investors for FEDs counteracting and loosening monetary
policy. In addition, the Polish stock exchange was in a temporary bull market when the low
figures for industrial orders were announced and the overwhelming optimism soothed
negative implications of the US economic information (AB18; similar views: AA08, AB17).
Dwelling on the US originating information events and their cross-border implications
for the Polish equity prices, the interviewed practitioners also highlighted the fact
that European stock markets became sensitive to information concerning US
unemployment rates. Hereto, the interviewed experts argued that this relationship was
particularly noticeable for the WSE [EV16]:
Although equity investors began the trading session on the 05th August 2010 with confidence
in the Polish stock market, the news about a sharp increase of jobseekers allowance
applications in the USA deteriorated the investment environment in Poland. This information
called the crisis-recovery in question. Henceforth, equity prices plummeted (AB11; similar
views: AA01, AB15).
Against this backdrop, publications of the US monthly unemployment data were found
by the interviewed practitioners to have influential powers on the performance of the
Polish stock market and activities of equity investors in times of the current financial
crisis. On 3 September 2010 [EV26], the course of the WSE trading session did not
display any abnormal volatility in stock prices until the monthly data concerning the
US unemployment figures in was published:
These figures, in times of the current financial crisis, used to foment emotions among equity Emerging stock
investors associated with global emerging stock markets such as Poland. When it turned out
that the published figures concerning the US unemployment rates were far better than market of Poland
anticipated by equity investors associated with the WSE, the stock market participants
reacted enthusiastically (AA06).
All in all, the information that investors received on 3 September 2010 served to put their
minds at ease and dispersed fears for further economic deterioration in the USA and its 49
negative implications for both the advanced and emerging European financial markets.
Despite improved investment environment across European stock markets,
including the WSE, combined negative economic news from the USA exerted
downward pressure on equity prices. This was evidenced on 19 August 2010 [EV21]
when Polands stock market indices were in upward trends at the beginning of the
trading session. However, negative information about the US unemployment rates and
Philadelphia Federal Index measuring regional economic growth in the USA triggered
falls in equity prices among European stock markets. According to the interviewed
practitioners, the contraction of the US factory sector indicated by the Philadelphia
Federal Index was greater than anticipated, and hence constituted the main driving
force for equity price plunges across advanced and emerging stock markets:
However, in comparison to its counterparts from Western Europe, the WSE proved more
resistant to the negative economic information stemming from the USA. Hereto, the values of
main stock indices in Europe fell by 1% on the 19th August 2010, whereas the WIG20 Index
fell by 0.64% of its value (AB15; similar views: AA05, AA08, AB12).
Going further with the analysis of the impact of combined information events, the
interviewed practitioners stressed that combining the negative information streaming
from the USA (FEDs decision to repurchase sovereign bonds) and China (slow-down in
credit action coupled with a decrease in retail sales) resulted in a poor performance of the
WSE on 11 August 2010 [EV18]. The equity price plunges which occurred that day were
further stimulated by poor performance of the advanced stock markets in Western
Europe. The London Stock Exchange and the German bourse reported 1.5 percent drops
in equity prices. Furthermore, poor performance of European stock markets was caused
by additional information about US trade deficit. In regards to this, the interviewed
practitioners argued that investors did not find any incentives for targeting equities and
thus the WIG20 Index lost 1.38 percent in its value on 11 August 2010. Since the
interviewed practitioners indicated that the combined negative information streaming
from the USA and China put equity investors associated with the WSE in a bad mood,
another example confirming this relationship referred to the events from the 25 August
2010 [EV23]. On that day, the USA published lower than expected results concerning
domestic demand for durables. Asian stock markets also displayed downward trends in
equity prices. As a result, main indices of the European stock exchanges fell in their
values by 0.6 percent (DAX-Germany), 0.8 percent (FTSE100-UK), 1.17 percent
(CAC40-France):
The Worst performance was reported in Europe for investee companies involved in
processing of raw materials. The WIG20 Index lost 0.7% in its value on the 25th August 2010
due to the negative information concerning economic situation of the USA and an increased
investors uncertainty about global economic growth. At this point, the bad mood was further
enhanced by the current financial crisis (AB11; similar views: AA05, AB16).
QRFM With reference to the cross-border implications of economic information concerning
4,1 China solely, the interviewed practitioners argued that in times of the global financial
crisis Polish equity prices reflected not only the information about the US economy but
included Chinese economic performance as well. Risk aversion, fuelled by the current
financial crisis, was perfectly reflected by investors reaction to the announcement of an
increase in Chinese interest rates. At this point, on 19 October 2010 [EV41], the Chinese
50 Central Bank decided to raise interest rates by 0.25 percentage points. Immediately after
the announcement of this decision, the WIG20 Index plunged. However, the interviewed
practitioners suggested that the reaction of investors associated with emerging stock
markets such as Poland, was additionally stimulated by the fact that the World Bank
predicted the weakening of the economic growth of China due to the inflationary pressure
and occurrence of speculative bubbles. Henceforth, in order to prevent spiraling
inflation, Chinese government decided to raise interest rates. It caused a markdown of
equity and commodity prices in the Polish stock market (AA08; similar views: AB18).
Investigating the impact of foreign economic information on the WSE, the
interviewed practitioners found the positive news concerning Chinese economy to have
strong influential powers. The optimistic information about Chinese industrial
production, set against the background of an increased appetite for risk among
investors involved in trading Polish equities triggered surges of equity prices in the
Polish stock market on 13 September 2010 [EV29]:
A handful of positive economic information stemming from China took investors doubts away
and assured them about the continuation of the sustainable economic growth among Asian
emerging economies. Against this background, equity prices of the WSE blue-chip companies
surged accompanied by a significant increase in turnover volume. Particularly, equities of
banks turned out to be most receptive to the information about Chinese industrial production.
However, this fact could be also related to an acquisition of BZWBK by Santander attracting
investors attention to the investee companies representing banking sector. However, the
Polish stock market was not the only bourse that enthusiastically responded to this event.
Advanced European stock exchanges were also by the positive economic news from China.
That day the French CAC40 grew by 1.21% of its value, the FTSE100 by 1.14% and the
German DAX increased by 0.85% (AB18; similar views: AA05, AA06, A08, AB12, AB14).
On the other hand, the interviewees claimed that the WIG20 index remained unaffected
by the information concerning the PMI Index for China. At this point, the positive
update on the Chinese PMI Index stimulated activities of equity investors associated
with advanced European stock markets. Despite this, the information about Chinese
PMI had no repercussions in Polish stock exchange on 1 October 2010 [EV35], though
on this day the WIG20 Index fell by 0.15 percent. However, if looking at the intraday
data, the WIG20 Index reached its local maximum of 2,619.64 points that day. To this
point, the influence of positive information concerning Chinese PMI Index was not
strong enough to sustain equity price growths (AA01; similar views: AB11).
Analyzing the influence of various economic information sets on the Polish stock
market during the current financial crisis included the announcement of the Chinese
government reporting export figures for May 2010 [EV9]. Global stock exchanges
responded to the official announcement that Chinese export increased in May by
48.5 percent while investors expected an increase at a level of 32-35 percent:
Therefore, during the week 07.06.2010-11.06.2010 global stock markets busied themselves
with positive economic information stemming from China. Equity prices surged.
However, Chinese stock market did not react enthusiastically to this information. The SSE Emerging stock
Composite Index grew only by 0.64% during that week. Furthermore, CEESM were still
under the influence of the negative information concerning the indebtedness of the Euro Area market of Poland
countries and problems with ameliorating Greek budget deficit. Therefore, the Hungarian
and Romanian stock markets reported falls in equity prices. Contrast to these developments,
the Polish stock market prioritized optimistic information stemming from China
(AB12; similar views: AA01, A03, AB15, AB17).
51
In addition to the examples described above, negative implications for the WSE
stemmed from the combination of disappointing economic information concerning
Chinas import dynamics and speculations about forthcoming decisions of the US
authorities to withhold supporting the financial market in times of the current crisis.
Hereto, the interviewed practitioners highlighted that negative economic information
from China, combined with speculations fuelling investors uncertainty and
overwhelming pessimism, exerted strong downward pressure on equity prices in

Poland. The interviewed practitioners mentioned that on 10 August 2010 [EV17],
Chinese authorities announced lower import dynamics, which equity investors
interpreted as a signal indicating global economic slowdown. Furthermore, the
interviewees argued that equity investors associated with the WSE were already in bad
mood influenced by pessimistic economic developments taking place in the USA a fall
in productivity and higher employment costs, and uncertainty about the prospective
FOMC session:
With this end in view, equity investors feared for the FEDs decision to abandon supporting
US financial market and tightening monetary policy that would curb the inflow of new
investment capital. At this point, FOMC sessions during the current financial crisis caused
strong emotions among equity investors both in the US and Polish stock markets (AB10;
similar views: AA09, AA03, AB12, AB13).
Hereto, the WIG20 Index value fell by 1.53 percent on 10 August 2010. At the time of
the closure for the WSE trading session, US main stock indices lost 1.1 percent
(Nasdaq) and 1.0 percent (SP500), respectively.
The interviewed practitioners also highlighted the fact that the WSE became
receptive to economic information from other European countries during the current
financial crisis. To this point, the interviewees argued that the Polish stock market
began to resemble characteristics of an advanced stock exchange. The interviewed
practitioners sketched several examples of an immediate reaction of the WSE to
economic information concerning other European countries, pointing out the reaction of
the CEESMs to the announcements concerning budget deficit of Greece. The
interviewees highlighted the strong influence of economic developments taking place in
Greece on the performance of other European stock markets:
In April 2010, Greek government announced that the budget deficit grew up to 13.6% of the
GDP. This negative information was coupled with a reduction of the Moodys rating assigned
to Greek government bonds. Altogether, economic perturbations experienced by Greece
affected other European stock markets (AA07; similar views: AA09, AB11).
The interviewees suggested that these developments also influenced investors
behavior. According to the interviewed practitioners, international equity investors
began to divest themselves of risky assets traded in emerging stock markets, and
hence triggered downward pressure on stock indices.
QRFM Problems concerning the economic situation of Greece materialized themselves in
4,1 the performance of the WSE again on 15 June 2010 [EV10]. The Polish stock markets
performance fell under the influence of the negative information that the rating for
bonds issued by Greek government was reduced to a junk level of Ba1 assigned by
Moodys rating agency:
Financial analysts and investors arrived at the paradoxical conclusion that the stimulation
52 package granted for Greece would turn detrimental because Greek government would not be
interested then in decreasing overblown budget deficit while having capital from the European
Union. Given the change of rating assigned to government bonds from A3 to Ba1, European
stock markets reacted to this information. To this point, on the 15th of June trading session in
the UK started with a 0.74% fall of the value of the FTSE 100 Index. The French stock index
CAC40 recorded a loss of its value by 0.56%. The German DAX started the trading session with
a loss of 0.37% in its value. The WIG20 recorded the poorest performance and started the
trading session with a loss of 1.49% (AB12; similar views: AA02, AA03, AB15).
Eventually, the daily performance of WIG20 resulted in a loss of the index value by
0.81 percent against negative information concerning Greece. At this point, the
interviewees argued that the Polish stock market reacted stronger than its European
counterparts and became more sensitive to economic information about Greece. Stock
markets did not react even to the decision of Germany willing to transfer EUR 22.4 bln to
Greece in order to stabilize the economic situation in Europe. This decision [EV3], and
the declaration of the Greek government to accept the rescue package and implement
solutions for budgetary savings did not influence the skepticism of equity investors. The
interviewed practitioners argued that stock markets became more receptive to negative
information concerning US economy and poor performance of Dow Jones which lost
9 percent of its value on 6 May 2010 [EV3]. Following the performance of the US stock
exchange main indices, the WIG20 value fell by 2.53 percent.
Although the announcement concerning stimulation packages for the Greek
economy did not cause euphoria among equity investors trading on the WSE,
information about making arrangements for financial help packages targeting the
Euro Area countries that experienced sharp deterioration of the economic situation in
2010 encouraged investors to refocus on CEESMs. During 8-9 May 2010, European
Union authorities negotiated the implementation of an additional crisis-recovery
package worth EUR 750 bln to be put at disposal of the EU members [EV5]. The
interviewed practitioners revealed that the value of the package exceeded the financial
needs signaled by the disturbed economies of Ireland, Portugal and Spain:
At this point, the size of the proposed financial help eased investors minds and encouraged
them to return to equity investments in European emerging stock markets. The
overwhelming excitement was transferred into an average growth of equity prices in
Poland by 5.19% on the 10th of May 2010. It was so far the highest daily surge of equity
prices in the Warsaw Stock Exchange since July 2005 (AB12; similar views: AA09, AB10).
The interviewed practitioners highlighted the intensiveness of investors reaction to
information about the creation of a rescue plan for the Euro Area members. Hereto, the
interviewees stressed that the reaction was impetuous but not prevalent as equity
turnover volume remained relatively low on 10 May 2010 PLN 1.36 bln, contrast to
PLN 1.83 bln on 3 May 2010:
Lower turnover volume suggested that a considerable group of investors still remained risk Emerging stock
averse and skeptic to the announcement of the new financial package. Furthermore, other
CEESM reacted to this information in a more distinct manner. To this point, Hungarian Stock market of Poland
Exchange Index (BUX) grew by 11%, prices of equities traded in Czech Republic and Turkey
increased by 7% (AA05; similar views: AA09, AB12, AB16).
The interviewed practitioners put forward several proposals that could hold back the
cross-European contagion of economic perturbations triggered by Greece. To this 53
point, the interviewed practitioners stressed the importance of the prevention of
spreading the panic among investors associated with other European stock markets.
Without the mechanism preventing the occurrence of similar economic perturbation
among European countries, equity investors would gradually abandon European stock
exchanges (AB18; similar views: AA09, AB17, AB16). Against this background, the
interviewed practitioners stressed that the responses to positive economic news
produced by Western European countries were successfully quelled by the investors

moods and fears over the economic situation in the USA escalated during the current
financial crisis. On this occasion the interviewed practitioners assessed the
performance of the WSE on 13 August 2010 [EV19], when equity investors received
positive information concerning German economy and the Euro Area:
On the 13th August 2010, investors associated with the Polish stock market could avail
themselves of positive information concerning German GDP, which in the second quarter of
2010 grew by 2.2%. This information was made public at the beginning of the WSE trading
session. Later, the equity investors received positive information concerning economic
situation among the Euro Area members. At this point, the Euro Area economies reported
higher than expected GDP growth and lower trade deficit in general. However, this positive
news did not convince equity investors in Poland who feared over the economic situation in
the USA (AB13; similar views: AB10).
The WSE witnessed an increase in equity prices, although this trend was temporary and
pessimistic investors moods prevailed. Positive economic news from advanced markets
of Western Europe did not change investors minds, who expected negative information
concerning the forthcoming publication of the US retail sales figures. As a result of the
negative expectations for economic information derived from the USA, equity investors
ignored positive signs of economic recovery among Western European countries:
Nonetheless, equity prices of the WIG20 investee companies which produced very good
financial results surged. It showed that investors, in times of the overwhelming negative
expectations concerning the US economy, turned to company-specific information in search
for positive impulses that could assure them of prospective investment gains (AA01; similar
views: AA08, AB10, AB11).
The interviewed practitioners, apart from enumerating examples of economic and
financial information that exerted high pressure on equity investors influencing their
investment decisions, mentioned instances which referred to events that did not have
any significant repercussion in the Polish stock market. To this point, the interviewed
practitioners pointed to the anxiety for banking sectors. On 27 September 2010,
Moodys Rating Agency lowered its rating assigned to the Anglo Irish Bank [EV34].
It may have negatively affected investors moods indicating vulnerabilities still
existing in the European banking sectors. However, as far as the WSE was concerned,
the WIG20 Index displayed insignificant fall:
QRFM That day, information about the money supply in the Euro Area and its implications for
growing inflation also made no impression on equity investors associated with the Polish
4,1 stock market. To this point, it turned out that investors became responsive only to certain sets
of economic and financial information ignoring other events that might shape the
performance of stock markets (AA04; similar views: AA09, AB17).
The interviewees stressed that the lack of simulative economic and financial information
54 created torpor among equity investors who withheld their activities during the current
financial crisis. The interviewed practitioners indicated that turnover volumes increased
against the background of new macroeconomic information. They referenced this fact to
an example from 6 September 2010 [EV27], when the WSE trading session did not
witness any significant economic information derived from advanced stock markets,
and hence investors remained reluctant to trade equities:
However, two hours before the closure of the session on the 06th of September 2010, equity
investors received information about economic forecast for Poland in 2010. Hereto, Polands
Ministry of Finance declared that Polish GDP growth would equal 3.3% in 2010. The domestic
authorities also stressed that Polish economy grew at a rate of 3.2% in the first half of 2010.
This news triggered increased activities of equity investors associated with the WSE and
targeting the most liquid, largest investee companies (AB12; similar views: AA04, AB10,
AB11).
Moreover, it turned out that information concerning lower than expected requisition
volumes for durable goods produced within the Euro Area did not affect the Polish
stock market [EV31]:
On the 22nd September 2010, negative moods predominated among investors trading in
advanced stock markets of Western Europe. These moods were caused by the publication of
disappointing figures suggesting a 2.4% fall in production indents within the Euro Zone.
However, Polands stock market remained unaffected by that information (AB13; similar
views: AB12).
According to the interviewees, stronger performance of the WSE in comparison to
advanced stock markets of Western Europe, guaranteed short-term international
portfolio diversification benefits.
The fact that economic and financial information originating from advanced stock
market and systemically important economies was prioritized by the WSE equity
investors over the domestic news was referenced by the interviewed practitioners to
the performance of the Polish stock market during 30 August 2010 [EV25]:
Given the lack of foreign economic information available to investors on the 30th August 2010
and the deterioration of investment environment caused by the global financial crisis, the
turnover volume for equities was very low that day. Investors became reluctant to trade
equities without the stimulus provided by the economic and financial information (AB11;
similar views: AB14, AB16).
The interviewed practitioners stressed that equity investors associated with Polands
stock market did not react to positive domestic information concerning higher Polish
GDP for the second quarter. In this case, the information provided by Polands Ministry
of Finance had a nonexistent impact on the performance of the local stock markets as
investors preferred to adjust their trading strategies to large caliber economic
information from advanced economies in times of the current financial crisis.
Against this, the WIG20 Index lost 0.7 percent in its value on 30 August 2010. Similarly, Emerging stock
Dow Jones and S&P 500 lost 0.3 percent in their values. Advanced stock markets of market of Poland
Western Europe were dominated by side trends of equity prices. Henceforth, despite
positive economic information concerning Polish GDP, the WSE did not witness an
increased activity of equity investors.
Polish equity prices displayed some dose of dependency on the information
concerning performance of the PMI Index for the Euro Area members. The interviewed 55
practitioners pointed to the pessimistic news about the PMI Index measuring the
economic health of the Euro Area manufacturing sector. The information concerning
poor performance of the Euro Area PMI Index became available to equity investors
associated with the WSE on 23 September 2010 and caused the WIG20 equity prices to
fall [EV32]:
The news about PMI Index met with pessimistic investment environment already caused by
disappointing figures concerning the unemployment rates in the USA. As a result, the values
of the main European stock indices fell by 1%, and the WIG20 Index lost 0.77% that day.
Henceforth, the negative economic information concerning the PMI Index did not affect
Polish stock market to the same extent as its advanced counterparts from Western Europe
(AB10; similar views: AA04, AB12).
On the other hand, good performance of the PMI Index for the Euro Area stimulated
growths of equity prices in the Polish stock market, despite the significant investment
environment deterioration. Hereto, on 22 July 2010 [EV13], investors associated with
the WSE received positive information concerning the PMI Index. The influential
power of this news managed to reverse the trend in equity prices. As a result, the
WIG20 Index grew by 1.68 percent in value. The interviewed practitioners argued
however, that the advanced stock markets of Western Europe performed better against
the background of the PMI Index. To this point, main stock indices of advanced Europe
grew by 3 percent in their values on 22 July 2010.
Among negative responses of the Polish stock market to economic information, the
interviewed practitioners enumerated several events to which the WSE reacted
positively. One of the most quoted examples by the interviewed practitioners refers to
the reaction of Polands capital market to the IMF report, which suggested an increase
in optimism of forecasts for global economic growth in 2010 and 2011. The IMF report
was published in July 2010 [EV12] and predicted a GDP growth for Poland at a level of
3.1 percent in 2010 and 3.5 percent in 2011. Previous forecasts estimated this growth at
lower levels 2.7 and 3.2 percent correspondingly. According to the IMF report, global
GDP was supposed to grow at a rate of 4.3 percent in 2010, thanks to the economic
growth of China (10.6 percent), Brazil, Russia and Indonesia. To this point, countries
from the Euro Area were marked as those impeding global economic growth. The IMF
report concluded that Polish economy had good growth perspectives. Against the
background of such positive economic forecast, the WSE improved its performance.
The events from the beginning of June 2010 confirmed that the WSE became
receptive to political firestorms in Central European region. The Polish stock markets
performance resembled investors concerns around the economic situation of Hungary.
In June 2010 [EV8], politicians argued that the former government of Hungary fudged
the budgetary statistics. Investors began to fear that Hungary was in danger of
bankruptcy similar to Greece:
QRFM Henceforth, Hungarian stock indices fell rapidly during the political quarrels concerning the
economy and budget deficit of Hungary. At this point, the BUX Index lost 5% of its value at
4,1 the beginning of a trading session on the 7th of June 2010 due to an increasing aversion of
international investors to Hungarian stock market caused by the controversies around its
budget and allegations that former government falsified economic data during the current
financial crisis (AB15; similar views: AA02, AB12).
56 These fears were justified by the fact that Hungary was entangled in a scandal of concealing
negative economic data before. In 2006, Hungarian government concealed the fact that the
budget deficit exceeded 9.3% of the GDP. In 2008, Hungary was forced to access the IMF and
EU financial help of USD 25 bln. To this point, the accusations of data manipulations met
with favorable conditions (AB15; similar views: AA09, AB12).
In this environment, the interviewed practitioners argued that investors associated
with the Polish stock market ignored good news about the 2.8 percent increase of
industrial orders by Germany. Ultimately it led to a decrease of the WIG20 Index value
on 7 June 2010.
Apart from the political firestorms in Central Europe and the economic situation in
Western Europe, the interviewed practitioners outlined the dependency of the
performance of the WSE on the strength of US Dollar. An example confirming this
relationship was portrayed by the reaction of Polands stock market to the EUR/USD
currency exchange rate [EV6]. The 14 May 2010 showed a EUR/USD exchange rate
that was the lowest since October 2008. According to the interviewees, depreciation of
European currencies in relation to the USD gave a strong impulse influencing
international investors to sell equities traded on European stock markets. That day, the
WIG20 lost 2.8 percent in its value:
Although macroeconomic information stemming from the USA was quite optimistic
increase in domestic consumption and production, the sharp depreciation of Euro (EUR) in
relation to the US Dollar (USD) urged international investors to sell out European equities
including those traded in the Polish stock market. Consequently, main stock index of the
Spanish bourse Ibex35 lost 4.4% in its value. The French Stock Market Index CAC lost
2.5% in its value. British FTSE lost 2.2% in its value and German index DAX fell by 1.3%.
The Warsaw Stock Exchange Index WIG lost 2% in its value. Even positive financial
results reported by Polish companies did not shield their equity prices from general
downward trend. Withdrawal of international investors from the Polish market was
evidenced by the poor performance of equities issued by blue-chip companies. To this point,
equity prices of small-cap investee companies, creating the sWIG80 Index, fell only by 0.74%
in comparison to the significant fall of equity prices (2 2.8%) among companies included in
the WIG20 Index (AB12; similar views: AA01, AA05, AA06, AA09, AB10).
Apart from analyzing the responsiveness of the Polish stock market to economic
information from the USA, China and European advanced and emerging economies in
general, the interviewed practitioners outlined the dependency of the WSE on
information stemming from its neighboring stock market Germany. Hereto, the
interviewees grounded their assumptions concerning the investigated relationship
between Polish and German stock markets on an example delivered by the immediate
reaction of Polands stock exchange to the events from 20 May 2010 [EV7]:
That day, the German financial market supervisory authorities banned short-selling of
Eurobonds, corporate bonds of ten financial institutions and transactions encompassing
Credit Default Swaps. According to the German authorities, sharpening of regulations curbed
speculations and investors tendencies to exert pressure on downward trends in equity prices. Emerging stock
However, such rush decision was not coordinated with actions and plans of other European
countries. Therefore, introducing the ban for short-selling of certain bonds resulted in market of Poland
plunges reported in most European markets that became uncertain about outcomes of these
decisions. Hereto, the WIG20 lost 3.1% in value. Similarly the DAX lost 3% in value and
other main stock indices of European markets lost 2% of their values (AB15; similar views:
AA09, AB11, AB12, AB14).
57
As far as cross-border implications of economic information from Germany were
concerned, the interviewed practitioners argued that the equity prices in Europe,
except for Poland, remained neutral to certain sets of economic news. Hereto, the
interviewees set forth an example of negative information concerning lower retail sale
figures in Germany [EV15] that was brought into the spotlight on 30 July 2010:
This information set was surprising for equity investors as they expected a slight growth in
German retail sales. Nonetheless the advanced European stock markets did not react to this
information (AB10).
Furthermore, the data concerning retail sales figures in Germany was provided in times
when investors moods were negatively affected by pessimistic news concerning
Japanese industrial production and the US GDP growth for the second quarter of 2010.
Hereto, unlike its counterparts representing advanced stock markets of Western
Europe, Polands stock exchange became receptive to the disappointing news
originating from the neighboring country [AB10; similar views: AA09, AB12]. On 30
July 2010, equity prices of the blue-chip companies traded in Poland fell in response to
economic information concerning German retail sales. The interviewed practitioners
highlighted the explicit poor performance of companies representing the banking sector
in Poland. With this in mind, the interviewed practitioners also indicated negative
influence of information about the smaller number of indents for German goods coupled
with the introduction of new regulations for the German banking sector [EV28]:
The new regulatory framework would generate the need for capital among German banks.
Furthermore, the stress tests revealed that German banks still were in possession of risky
assets. All in all, these events, which came into spotlight on the 07th of September 2010,
caused main European stock indices to fall. However, the poor performance of European and
the Polish stock exchanges were set against the background of low turnover volumes. This
news was received by equity investors in Poland during the period of a bull market when the
WIG20 Index was reaching its peak from August 2010 (AB15; similar views: AA01, AB12).
In summation, cross-border implications of economic information originating from
neighboring systemically important countries such as Germany were long recognized
by the interviewed practitioners, who stressed their influential powers on the WSE
performance. Against this backdrop, the interviewed experts discussed the responses
of equity prices to information concerning the IFO Business Climate Index on
24 September 2010 [EV33]. At this point, the IFO Business Climate Index highlighted
the improved economic activity in Germany. Equity investors associated with the WSE
positively reacted to the new, and the WIG20 Index gained 1.38 percent in its value
that day:
Investments in companies representing financial sector proved most profitable. However, mid
and small cap investees outperformed their blue-chip counterparts. Nonetheless, WIG20
Index reached its highest peak from the past two years (AB11; similar views: AA09, AB12).
QRFM 4. Conclusions
4,1 This paper has analyzed the cross-border implications of different economic and
financial information generated during the current financial crisis and transferred to the
WSE. Over 40 information events were investigated spanning a period from February to
November 2010. Hereto, it has become apparent that the current financial crisis
magnified the influential powers of certain economic news. Information fuelling
58 investors anxiety had a noticeably negative repercussion in Polish equity prices. To this
point, negative information about the US real estate market and tightening US monetary
policy was reflected in sharp plunges of Polish equity prices as equity investors
associated with the WSE viewed the news as signs that the US government was
abandoning the stimulating of crisis-recovery. On the other hand, the current financial
crisis deprived certain information sets of their influential powers. As such, the influence
of the announcements of changes in US industrial production and demand for US
durables were eased by the temporarily improved investment environment.

In times of the current financial crisis, equity prices of the most liquid companies in
the Polish stock market became receptive to information concerning US
unemployment. Against this backdrop, equity investors viewed this information as a
gauge of the intensity of the financial crisis to the extent that they prioritized
news about US unemployment over domestic economic information. Polish equity
prices also responded to economic information originating from other European
countries. However, news about the US or Chinese economic situation had far greater
repercussions in the WIG20 investee companies performance. As far as negative news
are concerned, the most influential information events referred to the announcement of
changes in German financial market regulatory framework; changes in USD/EUR
exchange rates; the disappointing situation of the US real estate market and combined
negative information concerning US and Chinese economies.
As far as optimistic information events are concerned, the news that put investors
minds at ease during the current financial crisis and bore symptoms of the
crisis-recovery, caused surges in equity prices of the WIG20 investee companies. Thus,
the announcement of the arrangements for the rescue plan for the highly indebted Euro
Area met with investors confidence. However, this was the only example of optimistic
information that had a positive impact on the daily responses of Polish equity prices that
was greater in its magnitude than the impact of negative information. Although other
sets of economic information had positive cross-border implications on changes in
equity prices, they were less influential in comparison to their negative counterparts. To
this point, publications of quarterly data for the US GDP or the Euro Area PMI Index,
although prioritized over domestic economic information, caused relatively smaller
changes in equity prices. This phenomenon may be explained by the fact that investors
decided to exercise caution while approaching equity investments during the global
financial crisis. In addition to this, certain information sets that appeared to produce
negative implications in normal times, caused surges of equity prices. This paradox was
rooted in investors assumptions that the authorities, faced with negative information,
would take steps to prevent further deterioration of the investment environment in a
way that required pumping money into financial markets. Nonetheless, there were more
negative responses to investigated information events than positive responses. This
means that recovery from the crisis takes place, but downside risks still exist and affect
uncertainty of equity investors.
The findings reported, ranked and discussed in this paper deliver a number of Emerging stock
practical implications for stock market practitioners. At this point, the ranking of market of Poland
responses of Polish equity prices to diversified events of economic and financial
information provides various insights into the profitability of equity investments in the
WSE during the current global financial crisis. Moreover, adjusting the empirical
findings for the investment environment sketches a picture on how stock prices react in
normal times. Since the information sets are of a repetitive nature and equity investors 59
will receive similar news in the future, understanding the ways the WSE react to certain
information events, and which news is ignored by stock market participants, proves
very useful as investors can assess the prospective performance of equity prices.
The paper reports findings that can be of interest for stock market practitioners for
yet another reason. The findings refer to the assessment of the profitability of two
different international portfolio diversification processes. With this end in view, the
paper argues for country specific diversification over the industry specific selection of
equity investments. The qualitative study brought forward the conclusions that the
WSE resembled traits of an efficient advanced stock market which reacted differently
to information events compared to its counterparts from Western and Central Europe,
hence guaranteeing international portfolio diversification opportunities in times of the
current financial crisis. As far as targeting equities of companies representing different
industrial sectors is concerned, this investment strategy did not prove beneficial as
equities of different sectors reacted in an identical fashion to the analyzed economic
information events. Moreover, the sectoral breakdown of the analyzed sample provided
strong evidence that the overall information-induced performance of each industry,
except for the banking and finance sector, did not deliver gains exceeding the average
for the all WIG20 components. At this point, only the banking sector positively
distinguished itself against the background of investigated information events. Similar
findings were achieved when testing for the responses of equity prices in normal times.
Hereto, comparing C and Y values computed for the analyzed information events
resulted in conclusions that the current financial crisis did not affect the response of
Polish equity prices to the assumed extent that they would react differently in normal
times. Although the discrepancies of reactions during the current financial crisis
(C values) and in normal times (N values) exist, they are not significant enough to alter
the responses against different investment environments.
The findings also include useful implications for financial market supervisory
authorities. To this point, the analyses of certain information sets outlined the need for
international coordination while implementing regulations. The ad hoc solutions made
to fight the negative outcomes of the current financial crisis may generate cross-border
implications that are detrimental to equity investors associated with different stock
markets. Changes in the German financial market regulatory framework caused plunges
of WIG20 equity prices. Furthermore, the paper calls for better communications of
decisions made by financial market authorities and governments regarding anti-crisis
solutions. Since the stock market practitioners ignored certain news and became
particularly receptive to other information events, the findings also help the financial
market supervisory authorities to distinguish between genuine reactions to economic
information and speculative attacks on equity prices. The findings also prepare financial
market supervisory authorities to act in the future when faced with similar information
events. By providing additional explanations to the news and clarifying the situation,
QRFM the authorities may put investors minds at ease and prevent unnecessary overreaction.
4,1 This is particularly important as it emerged from the qualitative part of the study that
investors are bombed with mutually exclusive information sets. In several instances
the information was distorted and varied across different providers. To this point,
information providers ought to harmonize the process of disseminating news, especially
in times of increased anxiety caused by the current financial crisis.
60 Employing both quantitative and qualitative research methods allowed for
constructive conclusions to be reached. However, the study focused on measuring the
initial response of Polish equity prices to different economic and financial information
by capturing their daily performance. The effects may last longer and become greater in
magnitude. Nonetheless, extending the analyzed period of equity price responses to
several days or weeks would adduce the risk of including other factors that influenced
equity prices of the WIG20 investee companies. Hereto, the aim of the current paper is to
extract specific sets of information for analyses with limited bias of other factors that the
empirical model did not capture. On the other hand, having access to intraday data
would increase the accuracy of the findings reported in the current paper. Including
intraday 5 minute intervals would provide insights into lags in responses to economic
and financial information after their publications. However, equity investors avail
themselves of different information sources which do not deliver the same news at
precisely the same time. Henceforth, the discrepancies in times when certain information
sets are available for equity investors undermine the usefulness of utilizing intraday
intervals. Pooled on daily basis, the economic and financial information is more likely to
be received by the majority of stock market participants to trigger an initial response.
It emerged from the qualitative part of the current study that the WSE has traits
resembling an advanced European stock market. With this end in view, an analysis of
barriers and challenges connected with equity investments in Poland would be a fine
addition and refreshment to the studies on international portfolio diversification with
emerging stock markets of Central Europe. Ultimately, the WSE requires more
attention as it has recently become a regional leading bourse in Central Europe,
attracting throngs of international investors. To this point, the findings provide
valuable insights into the functioning of the Polish stock market an area in academic
literature that remains relatively under-researched.
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Corresponding author
Lukasz Prorokowski can be contacted at: r05lp9@abdn.ac.uk
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Appendix
Interviewee code Country Current/recent employment Area of expertise
AA01 UK Investment fund manager Pan European equity investments

AA02 UK Investment fund advisor CEESM equity investments
AA03 UK Investment fund senior analyst Equity investments industry-factor exposure
AA04 UK Deputy investment fund manager Corporate finance, equity investments
AA05 UK Insurance sector researcher CEESM, equity investments
AA06 UK Investment fund research analyst International portfolio diversification
AA07 UK Trainee fund manager European capital markets
AA08 UK Investment communication analyst Medium-cap investee companies
AA09 UK Emerging European markets analyst Emerging stock markets, equity investments
AB10 Poland Fund managing team member Polish stock market, investment funds
AB11 Poland Investment fund junior manager CEESM, Polands economy
AB12 Poland Investment fund advisor Equity investments, portfolio analysis
AB13 Poland Investment fund manager European stock markets
AB14 Poland Financial newspaper columnist Polish stock exchange, equity investments
AB15 Poland Polish financial supervisory authority member Functioning of Polands stock market
AB16 Poland Institute of investors relations associate Equity trading strategies, financial crises behavioral
finance
AB17 Poland Investment decision chief specialist Equity investments, CEESM
AB18 Poland Polish committee of economics member Economics, global emerging stock markets,
international finance
Interviewees background
market of Poland
Emerging stock
Table AI.
63
4,1
64
QRFM
Table AII.
description (2010)
Economic and financial
information sets events
Event code Event (example of economic/financial information) Country of origin Date DE(ES) (%) DES (%)
EV1 Info about changes in US unemployment rates USA 18 February 10 30.79 257.46
EV2 Info about changes in US interbank loan interest USA 19 February 10 30.79 257.46
EV3 Announcement of the rescue plan for Greece EU 3 May 10 75.35 213.00
EV4 Info about Dow Jones Plunge USA 6 May 10 75.35 213.00
EV5 Info about arrangements for Euro area financial help EU 10 May 10 75.35 213.00
EV6 Info about changes in EUR/USD exchange rates EU 14 May 10 75.35 213.00
EV7 Info about changes in financial market regulations Germany 20 May 10 75.35 213.00
EV8 Info about changes in political atmosphere of Hungary Hungary 7 June 10 237.83 216.09
EV9 Info about changes in Chinese export China 10 June 10 237.83 216.09
EV10 Info about lowered ranking for Greek bonds Greece 15 June 10 237.83 216.09
EV11 Info about US real estate market situation USA 24 June 10 237.83 216.09
EV12 Publication of the IMF economic forecast for Europe EU 8 July 10 221.73 217.80
EV13 Info about changes in PMI index for Euro area EU 22 July 10 221.73 217.80
EV14 Info about changes in US consumer confidence USA 27 July 10 221.73 217.80
EV15 Info about changes in German retail sales figures Germany 30 July 10 221.73 217.80
EV16 Info about increase in US jobseekers allowance USA 5 August 10 42.22 293.33
EV17 Info about Chinas import dynamics China 10 August 10 42.22 293.33
EV18 Info about US and Chinese economic situation USA/China 11 August 10 42.22 293.33
EV19 Info about German GDP and Euro area economy EU/Germany 13 August 10 42.22 293.33
EV20 Info about Changes in US industrial production USA 17 August 10 42.22 293.33
EV21 Info about Philadelphia federal index performance USA 19 August 10 42.22 293.33
EV22 Info about situation of US real estate market USA 24 August 10 42.22 293.33
EV23 Info about changes in US demand for durables USA 25 August 10 42.22 293.33
EV24 Info about US GDP growth in Q2 USA 27 August 10 42.22 293.33
EV25 Info about Polish GDP growth in Q2 Poland 30 August 10 42.22 293.33
EV26 Publication of US monthly unemployment report USA 3 September 10 217.57 44.06
(continued)
Event code Event (example of economic/financial information) Country of origin Date DE(ES) (%) DES (%)
EV27 Info about Polish GDP growth in 2010 Poland 6 September 10 217.57 44.06
EV28 Info about situation in German banking/industrial sec. Germany 7 September 10 217.57 44.06
EV29 Info about changes in Chinas industrial production China 13 September 10 217.57 44.06
EV30 Info about situation of US real estate market USA 21 September 10 217.57 44.06
EV31 Info about changes in orders for Euro area production EU 22 September 10 217.57 44.06
EV32 Info about changes in PMI index for Euro area EU 23 September 10 217.57 44.06
EV33 Info about changes in IFO business climate index Germany 24 September 10 217.57 44.06
EV34 Info about lowered Moodys rating for EU banks EU 27 September 10 217.57 44.06
EV35 Info about changes in PMI index for China China 1 October 10 221.32 246.17
EV36 Info about changes in orders for US production USA 4 October 10 221.32 246.17
EV37 Info about changes in ISM manufacturing index USA 5 October 10 221.32 246.17
EV38 Publication of FOMC session report USA 13 October 10 221.32 246.17
EV39 Info about Michigan consumer sentiment index USA 15 October 10 221.32 246.17
EV40 Publications of US banks financial statements USA 18 October 10 221.32 246.17
EV41 Info about changes of Chinas interest rates China 19 October 10 221.32 246.17
market of Poland
Emerging stock
Table AII.
65
4,1
66
QRFM
Table AIII.
indexed investee
Data sample WIG20
companies (statuson2010)
Investee company Industry Industry code Market capitalization (EUR) Impact on WIG20 index portfolioa (%)
PKO BP Banking and financial BANK 14,055,519,301 0.21

PEKAO Banking and financial BANK 12,110,034,524 2 0.20
BZWBK Banking and financial BANK 3,826,605,775 0.00
GETIN Banking and financial BANK 1,997,566,966 2 0.01
BRE BANK Banking and financial BANK 3,132,440,303 2 0.02
PZUb Banking and financial BANK 7,865,380,671 0.03
PBG Construction and developers CONST 800,106,671 0.00
POLIMEXMS Construction and developers CONST 477,852,031 0.01
GTC Construction and developers CONST 1,373,765,398 0.03
CEZ Energy oil and gas ENERGY 16,541,274,403 2 0.02
PGEc Energy oil and gas ENERGY 10,582,707,455 2 0.08
PKN ORLEN Energy oil and gas ENERGY 4,959,630,193 0.35
PGNIG Energy oil and gas ENERGY 5,434,717,132 0.01
LOTOS Energy oil and gas ENERGY 1,034,631,923 2 0.01
ASSECOPOL IT and telecommunication IT&TEL 1,122,842,765 0.04
TPSA IT and telecommunication IT&TEL 5,699,019,466 2 0.02
CYFROWY POL. Media MEDIA 1,053,980,284 0.00
TVN Media MEDIA 1,457,021,084 0.02
BIOTON Raw materials and chemical RAW 243,053,340 0.03
KGHM Raw materials and chemical RAW 7,273,731,238 0.20
Notes: aThe impact on 1 percent change in WIG20 index value is calculated based on: averaged equity price change influenced by the investigated
economic/financial information events multiplied by the share of the equities value in WIG20 index portfolio; breplaced Cersanit (May 2010); creplaced
Agora (March 2010)
WIG20 BANK CONST ENERGY IT&TEL MEDIA RAW

Rank Event code C1 Y1 N1 Y1 C1 Y1 C1 Y1 C1 Y1 C1 Y1 C1 Y1 C1
1 EV7 23.09 23.11 0.02 22.98 2 2.96 22.94 22.92 22.81 22.79 21.85 21.83 22.24 2 2.22 2 5.32 25.30
2 EV6 23.09 23.17 0.08 21.23 2 1.15 24.87 24.79 22.78 22.70 22.84 22.76 23.41 2 3.33 2 5.40 25.32
3 EV11 22.63 22.57 20.06 21.26 2 1.32 23.86 23.92 22.33 22.39 21.95 22.01 22.25 2 2.31 2 6.06 26.12
4 EV4 22.62 22.60 20.02 23.23 2 3.25 22.16 22.18 21.98 22.00 22.29 22.31 23.19 2 3.21 2 2.79 22.81
5 EV22 22.28 22.60 0.32 22.39 2 2.07 21.70 21.38 22.93 22.61 22.41 22.09 25.06 2 4.74 2 1.50 21.18
6 EV18 21.47 21.76 0.29 21.80 2 1.51 22.01 21.72 20.90 20.61 20.56 20.27 22.02 2 1.73 2 4.25 23.96
7 EV39 21.25 21.20 20.05 20.85 2 0.89 22.42 22.47 21.55 21.60 20.58 20.63 0.98 0.93 2 2.33 22.38
8 EV17 21.18 21.48 0.30 21.67 2 1.37 20.18 0.12 22.13 21.83 21.40 21.10 21.49 2 1.19 2 1.35 21.05
9 EV41 21.05 20.98 20.07 20.67 2 0.74 20.77 20.84 20.14 20.21 21.34 21.41 21.31 2 2.38 2 2.51 22.58
10 EV8 20.92 20.88 20.04 21.01 2 1.05 20.63 20.67 20.08 20.12 0.17 0.13 20.82 2 0.86 2 3.95 23.99
11 EV25 20.89 21.24 0.35 20.92 2 0.57 20.66 20.31 20.92 20.57 21.93 21.58 21.81 2 1.46 2 2.59 22.24
12 EV35 20.75 20.69 20.06 20.51 2 0.57 22.27 22.33 21.00 21.06 0.34 0.28 20.75 2 0.81 0.96 0.90
13 EV19 20.69 20.99 0.30 21.33 2 1.03 20.09 0.21 20.87 20.57 21.69 21.39 20.59 2 0.29 2 1.33 21.03
14 EV10 20.60 20.54 20.06 0.06 0.00 0.06 0.00 0.36 0.30 23.94 24.00 22.24 2 2.30 2 0.94 21.00
15 EV16 20.58 20.94 0.36 21.57 2 1.21 21.58 21.22 20.69 20.33 1.29 1.65 21.56 2 1.20 2 0.36 0.00
16 EV1 20.52 20.51 20.01 22.37 2 2.38 20.42 20.43 20.65 20.66 20.53 20.54 3.29 3.28 2 1.05 21.06
17 EV32 20.28 20.33 0.05 20.92 2 0.87 0.23 0.28 21.02 20.97 20.38 20.43 20.09 2 0.04 2.25 2.29
18 EV14 20.24 20.21 20.03 20.53 2 0.56 1.08 1.05 20.11 20.14 21.65 21.68 0.23 0.20 2 0.39 20.42
19 EV23 20.20 20.53 0.33 21.87 2 1.54 20.09 0.24 20.44 20.11 0.34 0.67 1.98 2.31 2 0.82 20.49
20 EV21 20.19 20.52 0.33 21.00 2 0.67 21.93 21.60 20.18 0.15 0.68 1.01 21.28 2 0.95 1.76 2.09
21 EV15 20.13 20.10 20.03 20.40 2 0.43 20.17 20.20 20.17 20.20 0.43 0.40 0.53 0.50 2 0.02 20.05
22 EV34 20.13 20.15 0.02 20.07 2 0.05 21.46 21.44 20.30 20.28 0.27 0.29 21.01 2 0.99 2.40 2.42
23 EV20 20.05 20.38 0.33 20.52 2 0.18 20.46 20.13 0.41 0.74 0.72 1.05 21.04 2 0.71 2 2.34 22.01
24 EV28 0.00 20.04 0.04 20.01 0.03 0.58 0.62 20.04 0.00 20.02 0.02 20.48 2 0.44 1.46 1.50
25 EV40 0.03 0.10 20.07 0.78 0.71 0.96 0.89 20.11 20.18 0.21 0.14 20.43 2 0.50 2 2.28 22.35
26 EV31 0.05 0.00 0.05 0.43 0.48 0.16 0.21 20.50 20.45 20.19 20.14 0.38 0.33 2 0.36 20.31
27 EV36 0.28 0.35 20.07 1.19 1.12 1.16 1.09 0.22 0.15 20.43 20.50 0.29 0.22 2 2.27 22.34
28 EV2 0.40 0.41 20.01 21.23 2 1.24 0.59 0.58 0.70 0.69 20.83 20.84 1.51 1.50 2.29 2.28
29 EV27 0.41 0.36 0.05 0.57 0.62 20.69 20.64 0.65 0.70 22.05 22.00 0.07 0.12 3.31 3.36
30 EV26 0.44 0.40 0.04 0.90 0.94 0.19 0.23 0.61 0.65 20.12 20.08 1.49 1.53 2 1.83 21.79
31 EV3 0.52 0.54 20.02 1.05 1.03 0.45 0.43 0.38 0.36 0.31 0.29 0.53 0.51 0.52 0.50
32 EV12 0.55 0.58 20.03 1.22 1.19 0.47 0.44 0.40 0.37 0.32 0.29 0.54 0.51 0.53 0.50
33 EV30 0.62 0.57 0.05 1.51 1.56 0.87 0.92 0.03 0.08 2.18 2.22 0.03 0.08 2 2.29 22.34
34 EV33 0.65 0.60 0.05 1.52 1.57 0.88 0.93 0.91 0.96 20.14 20.09 20.19 2 0.14 2 1.82 21.77
35 EV37 0.97 1.03 20.06 0.72 0.66 1.28 1.22 0.74 0.68 2.14 2.08 0.67 0.61 1.57 1.51
36 EV9 0.99 1.03 20.04 1.39 1.35 1.09 1.05 0.90 0.86 1.87 1.83 0.82 0.78 2 0.48 20.52
37 EV29 1.18 1.15 0.03 2.70 2.73 0.28 0.31 0.11 0.14 0.65 0.68 0.49 0.52 1.58 1.61
38 EV24 1.23 20.94 0.29 0.74 1.03 0.51 0.80 0.45 0.74 1.42 1.71 0.85 1.14 3.08 3.37
39 EV13 1.45 1.45 20.00 1.45 1.45 1.73 1.73 1.68 1.68 20.15 20.15 0.95 0.95 2.55 2.55
40 EV38 1.63 1.68 20.05 2.33 2.28 0.62 0.57 0.77 0.72 0.66 0.61 1.60 1.55 4.74 4.69
41 EV5 4.42 4.34 0.08 5.78 5.86 3.56 3.64 3.46 3.54 3.17 3.25 5.38 5.46 4.31 4.39
events influencing
Ranking of information
market of Poland
prices (2010)
Emerging stock
WIG20 indexed equity

Table AIV.
67
This article has been cited by:
1. Lukasz Prorokowski Risk Management, Lepus Investment Banking Consultancy, London, UK . 2014.
Banks perspective on regulatory-driven changes to collateral management. Journal of Financial Regulation
and Compliance 22:2, 128-146. [Abstract] [Full Text] [PDF]

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Qualitative Research in Financial Markets

Assessment of cross-border implications of economic and financial information for

*Related content and download information correct at time of download.

Graduate Business School, University of Aberdeen, Aberdeen, UK

2.2 Quantitative research methods

DES1 DEES1 *100%

reported in the following paragraphs. Academics tend to utilize impulse response

Consumer Confidence Index evaluating the degree of consumers optimism towards US

According to the interviewees, the improved financial statements of the largest US

overwhelming pessimism, exerted strong downward pressure on equity prices in

produced by Western European countries were successfully quelled by the investors

durables were eased by the temporarily improved investment environment.

Journal of International Economics, Vol. 66, pp. 41-72.

and wealth, Review of Financial Studies, Vol. 2, pp. 73-89.

To purchase reprints of this article please e-mail: reprints@emeraldinsight.com

Interviewee code Country Current/recent employment Area of expertise

AA01 UK Investment fund manager Pan European equity investments

PKO BP Banking and financial BANK 14,055,519,301 0.21

WIG20 BANK CONST ENERGY IT&TEL MEDIA RAW

WIG20 indexed equity

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