Figure 1.
Flowchart of the research procedure.
Source: Own elaboration.
Figure 2.
Comparison of annual dividend yields from the WIG index with average annual dividend yields from the surveyed companies (in%).
Source: Own elaboration based on: Statystyki Giełdowe GPW [2023] https://www.gpw.pl/statystyki-gpw#0 [accessed: February 6, 2024].
Table 1.
Summary of transaction results
| Item/company | PZU | ENEA | JSW | KGHM | PGE | PKN | PKO BP | TPE | Average |
|---|---|---|---|---|---|---|---|---|---|
| Number of completed transactions | 11 | 17 | 12 | 13 | 12 | 13 | 10 | 13 | 13 |
| Average annual investment return (in %) | 6.55 | 2.77 | −2.52 | −0.28 | −3.48 | 11.63 | −1.10 | −11.46 | 0.26 |
| Average annual investment return including dividends (in %)* | 23.41 | 4.09 | −1.85 | 1.61 | −0.88 | 18.73 | 1.37 | −9.93 | 4.571 |
Table 2.
AARs in the event window involving buy trades determined by the trading signals of the RSI with their statistical significance
| Day of event window/issuer | PZU (9) | ENEA (10) | JSW (9) | KGHM (12) | PGE (9) | PKN (8) | PKO (7) | TPE (11) | AAR (75) |
|---|---|---|---|---|---|---|---|---|---|
| t3 | −0.23% | −0.16% | 4.55% | 0.66% | 0.02% | 1.02% | 0.00% | 0.44% | 0.79% |
| t−2 | 0.07% | 0.03% | 2.58% | 1.11% | 0.35% | 0.10% | 0.96% | −0.05% | 0.65% |
| t−1 | −0.10% | 0.06% | 0.43% | 0.13% | 0.62% | −0.35% | 0.07% | 0.21% | 0.14% |
| t0 | 0.30% | 0.55% | −4.34% | −1.24% | −0.16% | −2.80% | −0.22% | 0.92% | −0.87% |
| t+1 | −0.11% | 0.24% | −3.38% | 0.83% | 0.29% | 3.30% | 0.02% | −0.04% | 0.15% |
| t+2 | −0.26% | 1.05% | 2.23% | 0.90% | 0.20% | −1.28% | 0.17% | 0.29% | 0.41% |
| t+3 | 0.58% | 0.09% | 0.47% | 0.91% | 0.44% | 1.94% | 0.09% | 0.72% | 0.65% |
| CAR | 0.25% | 1.85% | 2.55% | 3.30% | 1.77% | 1.94% | 1.09% | 2.50% | ACAR |
| 1.91% | |||||||||
Table 3.
AARs in the event window involving sales trades determined by the trading signals of the RSI with their statistical significance
| Day of event window/issuer | PZU (10) | ENEA (16) | JSW (12) | KGHM (11) | PGE (10) | PKN (9) | PKO (9) | TPE (11) | AAR (88) |
|---|---|---|---|---|---|---|---|---|---|
| t−3 | −0.12% | −0.01% | −0.59% | −0.10% | −0.03% | −1.95% | −0.42% | 0.17% | −0.38% |
| t−2 | −0.25% | 0.58% | −0.67% | −0.98% | 0.08% | 0.09% | −0.86% | 0.17% | −0.23% |
| t−1 | 0.01% | 0.67% | −0.62% | −1.09% | −0.26% | −1.22% | −0.33% | 0.23% | −0.33% |
| t0 | 0.22% | 0.38% | −1.24% | −1.13% | 0.38% | 0.00% | −0.41% | 0.43% | −0.17% |
| t+1 | 0.17% | −0.32% | 0.28% | −0.58% | −0.29% | 1.00% | −0.07% | −0.13% | 0.01% |
| t+2 | 0.41% | 0.34% | 0.55% | 0.02% | 0.04% | −0.12% | −0.22% | 0.20% | 0.15% |
| t+3 | −0.84% | 0.34% | 0.49% | 0.10% | 0.03% | 0.50% | −0.31% | −0.01% | 0.04% |
| CAR | −0.40% | 1.98% | −1.80% | −3.76% | −0.06% | −1.69% | −2.62% | 1.06% | ACAR |
| −0.91% | |||||||||
