The results obtained for the average cumulative abnormal returns corroborate the findings reached for the average cross-sectional abnormal returns in the case of the first dividend and dividend increase subsamples. However, the average cross-sectional abnormal returns calculated within the eleven-day-long event window around the dividend payment day turn out to be statistically insignificant. The obtained results provide evidence that the Polish stock market reaction to dividend announcements is positive and immediate. However, the market does not significantly react to dividend payouts, which may lead to the conclusion that the WSE directly incorporates news on dividends into stock prices. Moreover, the reaction of the market for dividend announcements is consistent with the sign of the dividend change: dividend-increase (-decrease) announcements are interpreted as a positive (negative) signal by the investors. Such results support both the informational content of the dividend hypothesis and the dividend signaling hypothesis. Considering that the observed abnormal market behavior disappears within two days at most after the announcement date, the results of the study can be useful for financial practitioners only with regard to short-term investment decisions.

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Over the last twenty years the competition pressure aff ected the ownership structure of stock exchanges. Demutualization is a worldwide phenomenon which changed the traditionally member-owned stock exchanges into corporations often listed on their own markets. e purpose of this study is to assess the fi nancial market reaction on the Initial Public Off er (IPO) of the Warsaw Stock Exchange. We perform the analysis of the WIG20 index based on the event study methodology. e obtained results confi rm that market participants anticipated the undertaken action. e study helps to shed some light on the demutualization process of stock exchanges that take place in the transition countries.

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The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover across the trading days is examined. The research sample covers 2502 daily observations in the period January 2005-December 2014. 53 WSE-listed companies divided into three size groups are investigated. In the study the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed. The results indicate that liquidity on the WSE tends to be significantly lower on Mondays and higher on Wednesdays in comparison with the other days of the week. However, the inverted U-shape in daily turnover occurs only among the companies with the largest market capitalization.