Materiały uzupełniające:
rysunki 1.1. i 1.2. - Wykres wartości indeksu WIG w okresie od 16.04.1991 r. do 03.03.2010 r. w skali liniowej i pół-logarytmicznej
tabela 1.1 - Wartość obrotów instrumentami rynku kapitałowego notowanymi na GPW w Warszawie w latach 2000-2010
tabela 1.2 - Struktura wartości obrotów instrumentami kapitałowymi notowanymi na GPW w Warszawie w latach 2000-2010
tabele 3.1 - 3.3 - Liczebności szeregów stóp zwrotów z indeksów WIG, WIG20, MWIG40, SWIG80 oraz z akcji wchodzących w ich skład
tabele 3.4 - 3.6 - Średnie stóp zwrotów z indeksów WIG, WIG20, MWIG40, SWIG80 oraz z akcji wchodzących w ich skład
tabele 3.7 - 3.9 - Odchylenia standardowe stóp zwrotów z indeksów WIG, WIG20, MWIG40, SWIG80 oraz z akcji wchodzących w ich skład
tabele 3.10 - 3.12 - Maksima stóp zwrotów z indeksów WIG, WIG20, MWIG40, SWIG80 oraz z akcji wchodzących w ich skład
tabele 3.13 - 3.15 - Minima stóp zwrotów z indeksów WIG, WIG20, MWIG40, SWIG80 oraz z akcji wchodzących w ich skład
tabele 3.16 - 3.18 - Współczynniki skośności rozkładów stóp zwrotów
tabele 3.19 - 3.21 - Kurtozy rozkładów stóp zwrotów
tabele 3.22 - 3.27 - Wyniki testów Kołmogorowa-Lillieforsa oraz Andersona-Darlinga zgodności rozkładu normalnego z empirycznym rozkładem stóp zwrotów
tabele 4.1 - 4.141 - Parametry rozkładów normatywnych dopasowanych do empirycznego rozkładu stóp zwrotów z indeksów WIG20, WIG, MWIG40 i SWIG80 oraz akcji wchodzących w ich skład
tabele 4.142 - 4.282 - Wyniki testu Kołmogorowa zgodności rozkładów normatywnych z rozkładem empirycznym stóp zwrotu z indeksów WIG20, WIG, MWIG40 i SWIG80 oraz akcji wchodzących w ich skład
tabele 4.283 - 4.423 - Wyniki testu Andersona-Darlinga zgodności rozkładów normatywnych z rozkładem empirycznym stóp zwrotu z indeksów WIG20, WIG, MWIG40 i SWIG80 oraz akcji wchodzących w ich skład
Tabela 3.13. Minima stóp zwrotów z indeksów WIG i WIG20 oraz z akcji wchodzących w skład portfela WIG20
| Akcja/indeks | h3 | b3 | h4 | b4 | h5 | cW |
|---|---|---|---|---|---|---|
| PKOBP | – | – | -6,0233 | -12,2226 | -7,7292 | -12,2226 |
| PEKAO | -9,9875 | -7,2321 | -6,5788 | -20,5852 | -8,1376 | -20,5852 |
| KGHM | -10,0083 | -13,5282 | -15,5900 | -23,6241 | -10,7544 | -23,6241 |
| PKNORLEN | – | -6,5042 | -9,2976 | -12,1578 | -8,6005 | -12,1578 |
| TPSA | -10,1783 | -8,2550 | -8,3587 | -6,5336 | -9,0215 | -9,0215 |
| BZWBK | -12,9699 | -6,3460 | -8,2593 | -12,1433 | -10,7286 | -12,1433 |
| ASSECOPOL | -10,7535 | -14,7781 | -30,5606 | -19,5061 | -6,9648 | -30,5606 |
| PGNIG | – | – | -5,5643 | -8,0472 | -4,8319 | -8,0472 |
| GETIN | – | – | -45,3917 | -14,9574 | -7,2065 | -45,3917 |
| GTC | – | – | -6,6301 | -14,6603 | -12,9920 | -14,6603 |
| TVN | – | – | -12,0516 | -15,9316 | -14,2669 | -15,9316 |
| BRE | -10,7359 | -9,6730 | -12,7833 | -14,1500 | -9,9693 | -14,1500 |
| CEZ | – | – | -5,1748 | -12,6752 | -11,6303 | -12,6752 |
| PBG | – | – | -9,5423 | -10,0032 | -7,1656 | -10,0032 |
| POLIMEXMS | -11,3329 | -13,3531 | -11,7783 | -11,7251 | -9,5310 | -13,3531 |
| LOTOS | – | – | -9,4526 | -10,4856 | -10,5361 | -10,5361 |
| CYFRPLSAT | – | – | – | -8,2754 | -8,7861 | -8,7861 |
| AGORA | -11,9591 | -15,7186 | -11,9545 | -16,9192 | -10,8004 | -16,9192 |
| CERSANIT | -10,9484 | -15,8791 | -10,4880 | -13,4531 | -8,9052 | -15,8791 |
| BIOTON | – | – | -11,5832 | -16,7054 | -9,0972 | -16,7054 |
| WIG20 | -9,7033 | -7,7057 | -5,7306 | -8,4428 | -6,4076 | -8,4428 |
| WIG | -6,0254 | -8,4678 | -5,4741 | -8,2888 | -5,1395 | -8,2888 |
Źródło: [Tomasik, 2011].
Tabela 3.14. Minima stóp zwrotów z indeksu MWIG40 i z akcji wchodzących w skład jego portfela
| Akcja/indeks | h3 | b3 | h4 | b4 | h5 | cW |
|---|---|---|---|---|---|---|
| INGBSK | -9,7980 | -5,3790 | -6,4320 | -11,6475 | -8,8193 | -11,6475 |
| HANDLOWY | -10,7727 | -8,3808 | -20,0964 | -9,8025 | -5,3890 | -20,0964 |
| NETIA | – | -22,5672 | -20,5669 | -10,1096 | -6,7823 | -22,5672 |
| LPP | – | – | -12,5434 | -10,5361 | -9,5310 | -12,5434 |
| KERNEL | – | – | – | -21,0136 | -8,5942 | -21,0136 |
| SWIECIE | -10,5919 | -41,3278 | -11,6153 | -11,1226 | -7,5849 | -41,3278 |
| STALPROD | -10,3990 | -10,4671 | -10,3720 | -10,8822 | -9,4104 | -10,8822 |
| MILLENNIUM | -20,4567 | -18,5293 | -12,7833 | -14,6066 | -16,1900 | -18,5293 |
| EUROCASH | – | – | -8,0043 | -8,2238 | -7,0618 | -8,2238 |
| EMPERIA | – | – | -15,5755 | -18,2322 | -6,6737 | -18,2322 |
| KETY | -12,4530 | -9,0972 | -9,6414 | -12,6041 | -6,3084 | -12,6041 |
| ECHO | -9,9911 | -13,7621 | -89,5237 | -11,7783 | -8,2427 | -89,5237 |
| AMREST | – | – | -10,5003 | -10,1553 | -10,8214 | -10,8214 |
| CCC | – | – | -5,0150 | -9,2894 | -11,5837 | -11,5837 |
| BUDIMEX | -9,5882 | -13,3531 | -10,8067 | -9,0613 | -5,3541 | -10,8067 |
| ORBIS | -9,2264 | -6,6971 | -6,8111 | -15,5578 | -10,3824 | -15,5578 |
| SYNTHOS | – | – | -7,4108 | -20,2941 | -8,0689 | -20,2941 |
| ELBUDOWA | -6,8993 | -11,3329 | -8,1599 | -8,8947 | -5,0698 | -8,8947 |
| KOGENERA | – | -10,5361 | -13,8951 | -13,9762 | -9,0846 | -13,9762 |
| MOSTALWAR | -10,5361 | -16,0508 | -24,8739 | -12,4053 | -8,9856 | -24,8739 |
| NFIEMF | -16,7054 | -10,5361 | -22,0124 | -18,4471 | -9,5310 | -22,0124 |
| PEP | – | – | -19,9796 | -8,9904 | -9,5310 | -19,9796 |
| CIECH | – | – | -8,4429 | -17,3133 | -10,5636 | -17,3133 |
| BANKBPH | -15,3305 | -10,2654 | -10,5664 | -205,319 | -8,8750 | -205,319 |
| MMPPL | – | – | -7,1963 | -9,4507 | -8,9856 | -9,4507 |
| KOPEX | -10,5361 | -10,4031 | -15,7903 | -15,7629 | -6,3716 | -15,7903 |
| PULAWY | – | – | -5,9819 | -10,9337 | -11,1963 | -11,1963 |
| POLNORD | -10,5361 | -10,5361 | -18,8052 | -17,3710 | -8,7011 | -18,8052 |
| LCCORP | – | – | – | -16,7054 | -10,0419 | -16,7054 |
| IDMSA | – | – | -16,8623 | -13,7056 | -14,3591 | -16,8623 |
| ALCHEMIA | -10,5361 | -16,2519 | -36,5371 | -19,8630 | -6,5930 | -36,5371 |
| MOSTALZAB | -9,3090 | -8,5298 | -32,2288 | -13,8150 | -8,7861 | -32,2288 |
| VISTULA | -10,5361 | -13,3531 | -15,0282 | -24,5122 | -13,9762 | -24,5122 |
| GANT | -10,5361 | -16,6769 | -51,9754 | -26,5478 | -13,8470 | -51,9754 |
| IMPEXMET | -11,3329 | -19,1891 | -16,9076 | -14,5417 | -10,4360 | -19,1891 |
| PETROLINV | – | – | – | -22,3144 | -9,9372 | -22,3144 |
| STALEXP | -11,4192 | -23,8674 | -29,5229 | -21,3366 | -17,4863 | -29,5229 |
| DUDA | – | – | -12,2148 | -40,5465 | -18,2322 | -40,5465 |
| MWIG40 | -7,7000 | -7,2392 | -5,6448 | -9,1013 | -4,7219 | -9,1013 |
Źródło: [Tomasik, 2011].
Tabela 3.15 Minima stóp zwrotów z indeksu SWIG80 i akcji wchodzących w skład jego portfela
| Akcja/indeks | h3 | b3 | h4 | b4 | h5 | cW |
|---|---|---|---|---|---|---|
| CCIINT | – | – | -5,6891 | -14,3961 | -7,4989 | -14,3961 |
| INTERCARS | – | – | -10,3842 | -13,7621 | -8,6345 | -13,7621 |
| BOMI | – | – | – | -15,5485 | -8,3663 | -15,5485 |
| KREDYTB | -7,7292 | -6,8598 | -21,4725 | -33,0242 | -6,5077 | -33,0242 |
| KOFOLA | – | – | -18,8475 | -15,2090 | -13,4108 | -18,8475 |
| COMARCH | -13,1798 | -7,9688 | -11,7337 | -13,3531 | -9,0972 | -13,3531 |
| APATOR | -11,0348 | -21,5520 | -27,5412 | -22,4786 | -5,7820 | -27,5412 |
| FARMACOL | -10,5361 | -9,9207 | -104,045 | -11,5761 | -5,0930 | -104,045 |
| PGF | -8,2065 | -9,5310 | -10,5361 | -13,1740 | -9,9225 | -13,1740 |
| RAFAKO | -13,5254 | -15,0823 | -9,8440 | -39,3984 | -7,2169 | -39,3984 |
| WSIP | – | – | -7,8118 | -18,7381 | -4,4640 | -18,7381 |
| ZELMER | – | – | -8,0827 | -14,0147 | -11,0774 | -14,0147 |
| TRAKCJA | – | – | – | -10,5361 | -5,7010 | -10,5361 |
| DEBICA | -9,0972 | -6,1599 | -10,9616 | -16,7388 | -5,8496 | -16,7388 |
| SANOK | -10,2279 | -11,6260 | -10,5361 | -23,2033 | -10,5125 | -23,2033 |
| FAMUR | – | – | -7,6449 | -15,7761 | -6,1088 | -15,7761 |
| HBPOLSKA | – | – | – | -10,5361 | -9,9613 | -10,5361 |
| ASSECOSLO | – | – | -7,6270 | -8,9977 | -10,4200 | -10,4200 |
| DOMDEV | – | – | -6,0093 | -13,8929 | -8,6300 | -13,8929 |
| COMP | – | – | -9,5931 | -10,9116 | -7,3055 | -10,9116 |
| SNIEZKA | – | – | -7,0675 | -13,7265 | -10,1304 | -13,7265 |
| MNI | -11,4720 | -13,7870 | -27,5412 | -22,4786 | -5,7820 | -27,5412 |
| GRAJEWO | -38,5749 | -7,6540 | -17,4123 | -23,2169 | -14,3101 | -23,2169 |
| ARMATURA | – | – | – | -10,2780 | -7,1974 | -10,2780 |
| ATM | – | – | -11,2304 | -18,3142 | -10,7246 | -18,3142 |
| ERBUD | – | – | – | -47,3438 | -7,0618 | -47,3438 |
| WAWEL | -10,5361 | -10,5361 | -13,0265 | -10,6972 | -6,1677 | -13,0265 |
| JUTRZENKA | -13,7784 | -10,6380 | -7,9310 | -20,5050 | -8,8796 | -20,5050 |
| ASTARTA | – | – | -8,3382 | -19,1055 | -10,4860 | -19,1055 |
| AZOTYTARNOW | – | – | – | -14,6263 | -6,8392 | -14,6263 |
| BOS | -12,1890 | -15,1107 | -16,2519 | -11,9491 | -9,8880 | -16,2519 |
| ELSTAROIL | – | – | -5,6271 | -15,3257 | -5,7158 | -15,3257 |
| KOELNER | – | – | -7,9310 | -21,8767 | -13,8402 | -21,8767 |
| FORTE | -14,6603 | -21,8915 | -15,8605 | -11,3329 | -8,4557 | -21,8915 |
| ABPL | – | – | -7,6037 | -16,1268 | -10,8214 | -16,1268 |
| RUCH | – | – | -7,9647 | -16,3090 | -5,6467 | -16,3090 |
| MERCOR | – | – | – | -14,7342 | -6,6580 | -14,7342 |
| NEPENTES | – | – | – | -10,0750 | -3,8695 | -10,0750 |
| BARLINEK | – | – | -7,0204 | -28,1996 | -7,1724 | -28,1996 |
| PEKAES | – | – | -8,8831 | -14,7356 | -7,9249 | -14,7356 |
| MCI | – | -18,3034 | -20,3725 | -15,4281 | -12,5478 | -20,3725 |
| POLICE | – | – | -18,6586 | -12,3345 | -10,1736 | -18,6586 |
| ATMGRUPA | – | – | -11,2478 | -13,3531 | -7,8894 | -13,3531 |
| SYGNITY | -13,9466 | -13,1028 | -9,3883 | -19,7764 | -12,1738 | -19,7764 |
| LENTEX | -9,1808 | -11,7337 | -29,0619 | -15,8996 | -5,1701 | -29,0619 |
| TORFARM | – | – | -12,3207 | -9,8971 | -6,4539 | -12,3207 |
| ALMA | -10,5361 | -13,7870 | -27,5412 | -22,4786 | -5,7820 | -27,5412 |
| ENERGOPLD | -10,5361 | -14,1651 | -18,9757 | -23,4905 | -10,9199 | -23,4905 |
| JWCONSTR | – | – | – | -16,0848 | -10,2857 | -16,0848 |
| TIM | -10,4685 | -70,5570 | -15,4151 | -18,8238 | -6,8111 | -45,3667 |
| WARIMPEX | – | – | – | -24,8867 | -9,5828 | -24,8867 |
| WIELTON | – | – | – | -17,9903 | -9,5745 | -17,9903 |
| 08OCTAVA | -10,9699 | -11,0542 | -13,6443 | -13,5254 | -8,5655 | -13,6443 |
| STALPROFI | – | -9,2115 | -9,6768 | -16,5842 | -9,0384 | -16,5842 |
| NOWAGALA | – | – | -11,2005 | -13,1028 | -9,6992 | -13,1028 |
| POLAQUA | – | – | – | -36,6467 | -10,4025 | -36,6467 |
| HAWE | – | – | – | -27,5103 | -15,8224 | -27,5103 |
| MIDAS | -13,5175 | -7,2759 | -127,858 | -19,9539 | -22,6283 | -127,858 |
| BBIDEVNFI | -9,9091 | -8,9948 | -55,8111 | -18,3665 | -11,1226 | -55,8111 |
| ORCOGROUP | – | – | – | -27,4651 | -30,5272 | -30,5272 |
| ZURAWIE | – | – | -9,8782 | -22,9923 | -8,6358 | -22,9923 |
| SKOTAN | -10,5361 | -17,0345 | -26,5703 | -20,4794 | -11,3023 | -26,5703 |
| MOSTALEXP | -12,6752 | -7,9083 | -24,8461 | -24,3813 | -8,5990 | -24,8461 |
| LUBAWA | -10,9199 | -14,3101 | -23,6047 | -13,9529 | -7,3427 | -23,6047 |
| MIT | -10,5361 | -28,7682 | -124,199 | -14,7535 | -9,9630 | -124,199 |
| BBIZENNFI | -12,2602 | -8,2824 | -38,0147 | -111,941 | -8,1678 | -111,941 |
| HUTMEN | -10,5361 | -13,0734 | -24,9461 | -16,1173 | -11,1888 | -24,9461 |
| COGNOR | -10,5361 | -22,3144 | -20,4794 | -27,8020 | -9,4491 | -27,8020 |
| BORYSZEW | -30,4211 | -16,2519 | -14,3998 | -17,5168 | -9,3917 | -17,5168 |
| PROCHNIK | -10,5361 | -25,4234 | -28,7682 | -21,1309 | -9,5310 | -28,7682 |
| KREZUS | -11,3944 | -9,5707 | -110,809 | -23,3896 | -15,4151 | -110,809 |
| PONAR | -10,5361 | -14,2873 | -30,5382 | -31,8295 | -12,8691 | -31,8295 |
| IBSYSTEM | -10,5361 | -30,4974 | -41,2245 | -29,2136 | -30,8301 | -41,2245 |
| 06MAGNA | -19,7168 | -14,4303 | -8,2362 | -23,8523 | -9,2782 | -23,8523 |
| HYGIENIKA | – | – | -29,3761 | -18,6102 | -8,1493 | -29,3761 |
| OPTIMUS | -12,7085 | -19,3653 | -95,7840 | -21,4410 | -13,6265 | -95,7840 |
| ATLANTIS | -10,5361 | -16,6321 | -59,6949 | -22,0731 | -10,1291 | -59,6949 |
| RUBICON | -16,1268 | -8,3216 | -77,4116 | -16,5514 | -14,0229 | -77,4116 |
| KOLASTYNA | – | – | – | -30,3905 | -27,0875 | -30,3905 |
| SWIG80 | -6,5484 | -6,9949 | -8,0139 | -7,5626 | -4,9171 | -8,0139 |
Źródło: [Tomasik, 2011].