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
| Akcja/indeks | h3 | b3 | h4 | b4 | h5 | cW |
|---|---|---|---|---|---|---|
| PKOBP | – | – | 1,1537 | 1,2469 | 0,5134 | 1,8985 |
| PEKAO | 4,0402 | 1,8628 | 1,4380 | 3,3802 | 1,4614 | 4,1919 |
| KGHM | 3,5071 | 1,9134 | 2,4541 | 4,9529 | 0,8242 | 4,3611 |
| PKNORLEN | – | 0,4672 | 1,2796 | 1,1288 | 1,3035 | 1,9558 |
| TPSA | 2,0860 | -0,0641 | 1,4648 | 1,0788 | 0,9460 | 1,0924 |
| BZWBK | 1,9625 | 0,4977 | 0,9731 | 1,2116 | 0,5203 | 1,6211 |
| ASSECOPOL | 2,0898 | 0,7603 | 14,1314 | 7,8644 | 1,0089 | 10,6679 |
| PGNIG | – | – | 1,6829 | 0,5809 | 0,6484 | 1,1236 |
| GETIN | – | – | 25,5327 | 3,3301 | 2,5126 | 23,8289 |
| GTC | – | – | 3,8096 | 1,9957 | 2,6030 | 3,5227 |
| TVN | – | – | 2,0729 | 3,1291 | 3,0046 | 3,5513 |
| BRE | 1,0766 | 1,4713 | 3,5089 | 2,7554 | 0,6960 | 3,7646 |
| CEZ | – | – | 0,9266 | 2,2002 | 3,4835 | 3,5102 |
| PBG | – | – | 3,3660 | 0,7169 | 1,7006 | 2,1045 |
| POLIMEXMS | 4,9134 | 2,7066 | 3,7691 | 1,3469 | 1,5689 | 2,9049 |
| LOTOS | – | – | 2,0876 | 4,1903 | 3,2185 | 3,9748 |
| CYFRPLSAT | – | – | – | 1,6289 | 2,8989 | 2,3308 |
| AGORA | 4,0458 | 1,8903 | 2,3265 | 3,4299 | 0,6868 | 2,7043 |
| CERSANIT | 1,1567 | 5,2706 | 6,8536 | 1,2400 | 1,0650 | 4,7704 |
| BIOTON | – | – | 4,4180 | 2,3666 | 2,8106 | 3,4423 |
| WIG20 | 1,8514 | 0,6475 | 1,1855 | 1,5831 | 0,5413 | 1,9045 |
| WIG | 0,9404 | 2,5225 | 1,3258 | 1,8143 | 0,8114 | 2,4286 |
| Akcja/indeks | h3 | b3 | h4 | b4 | h5 | cW |
|---|---|---|---|---|---|---|
| INGBSK | 1,0087 | 6,1728 | 3,8315 | 3,0403 | 0,9253 | 6,3156 |
| HANDLOWY | 1,4642 | 2,6297 | 29,2249 | 1,4337 | 2,0165 | 10,1321 |
| NETIA | – | 2,7724 | 26,3829 | 4,4169 | 2,5712 | 22,1436 |
| LPP | – | – | 6,0694 | 1,2507 | 2,8372 | 4,7221 |
| KERNEL | – | – | – | 4,6850 | 1,9370 | 4,5332 |
| SWIECIE | 2,5642 | 90,4893 | 4,5115 | 3,4772 | 3,2768 | 53,3273 |
| STALPROD | 1,9728 | 0,9862 | 7,5420 | 1,3266 | 1,3262 | 5,0199 |
| MILLENNIUM | 6,0426 | 4,3670 | 9,0691 | 1,8865 | 2,1954 | 5,5766 |
| EUROCASH | – | – | 2,5857 | 1,7228 | 2,8619 | 2,4441 |
| EMPERIA | – | – | 66,7140 | 7,2550 | 1,5200 | 49,1846 |
| KETY | 3,8001 | 2,8253 | 2,7279 | 3,0856 | 2,0585 | 3,7638 |
| ECHO | 1,9553 | 4,4601 | 557,9159 | 1,6823 | 0,9638 | 320,0040 |
| AMREST | – | – | 4,1867 | 1,9533 | 2,8767 | 3,1627 |
| CCC | – | – | 1,2913 | 1,1380 | 4,5366 | 2,1623 |
| BUDIMEX | 1,2736 | 7,4495 | 7,0499 | 1,0896 | 0,1453 | 5,1410 |
| ORBIS | 1,6983 | 0,7810 | 1,7957 | 3,7728 | 3,6444 | 4,0187 |
| SYNTHOS | – | – | 4,3154 | 2,4474 | 2,7073 | 4,5731 |
| ELBUDOWA | 2,3991 | 3,0291 | 4,8363 | 1,2814 | -0,0113 | 3,7046 |
| KOGENERA | – | 13,4337 | 7,5737 | 2,2862 | 6,1260 | 7,0339 |
| MOSTALWAR | 1,4255 | 6,2101 | 7,7035 | 2,6722 | 1,8550 | 6,6394 |
| NFIEMF | 4,1857 | 2,9375 | 28,0194 | 4,7905 | 3,6184 | 19,5720 |
| PEP | – | – | 9,3093 | 1,3915 | 3,2396 | 7,2670 |
| CIECH | – | – | 7,3982 | 5,9210 | 1,9547 | 6,1834 |
| BANKBPH | 4,3002 | 1,8868 | 2,2302 | 334,8157 | 2,5951 | 1376,3442 |
| MMPPL | – | – | 1,9402 | 2,3668 | 2,4635 | 2,4458 |
| KOPEX | 0,8540 | 1,1988 | 13,4858 | 2,6168 | 2,0227 | 10,1974 |
| PULAWY | – | – | 3,9936 | 1,3904 | 4,8462 | 2,9357 |
| POLNORD | 0,8395 | 2,9393 | 9,8028 | 1,8428 | 2,0283 | 7,4102 |
| LCCORP | – | – | – | 5,1299 | 5,3014 | 5,2278 |
| IDMSA | – | – | 2,9760 | 1,2478 | 5,7391 | 3,8751 |
| ALCHEMIA | 1,0843 | 3,7484 | 7,2031 | 10,2665 | 8,3957 | 12,2405 |
| MOSTALZAB | 2,4645 | 0,9341 | 7,6415 | 2,2368 | 1,1386 | 7,8322 |
| VISTULA | 0,9148 | 2,4985 | 15,0404 | 7,5703 | 2,1214 | 10,1676 |
| GANT | 1,5933 | 1,1481 | 19,6420 | 3,6905 | 5,0825 | 19,2562 |
| IMPEXMET | 3,2680 | 5,5620 | 3,7302 | 4,5064 | 6,6907 | 5,5708 |
| PETROLINV | – | – | – | 3,3666 | 7,2986 | 4,5283 |
| STALEXP | 2,4403 | 6,0285 | 10,2605 | 5,9608 | 11,0015 | 9,0044 |
| DUDA | – | – | 4,2517 | 27,7099 | 4,8646 | 20,2415 |
| MWIG40 | 1,2614 | 6,8565 | 3,2209 | 3,0470 | 1,2985 | 5,6643 |
| Akcja/indeks | h3 | b3 | h4 | b4 | h5 | cW |
|---|---|---|---|---|---|---|
| CCIINT | – | – | 1,0460 | 3,4746 | 0,9910 | 2,6578 |
| INTERCARS | – | – | 7,9853 | 2,5886 | 5,2935 | 5,5578 |
| BOMI | – | – | – | 3,9327 | 2,9879 | 3,8526 |
| KREDYTB | 0,5088 | 2,5890 | 19,6503 | 31,5159 | 6,0103 | 36,8420 |
| KOFOLA | – | – | 5,8236 | 21,2753 | 3,9874 | 16,4759 |
| COMARCH | 2,1930 | -0,1784 | 3,5909 | 2,5550 | 2,9375 | 3,0590 |
| APATOR | 0,9665 | 7,2574 | 9,4735 | 9,3780 | 2,2636 | 10,4201 |
| FARMACOL | 2,3244 | 3,8825 | 723,0084 | 1,9648 | 1,6568 | 650,2592 |
| PGF | 0,9812 | 4,0582 | 4,2132 | 4,5617 | 1,8192 | 6,5937 |
| RAFAKO | 2,3539 | 6,0153 | 4,5282 | 47,6547 | 3,1783 | 28,5154 |
| WSIP | – | – | 2,4714 | 24,4423 | 2,1679 | 13,3916 |
| ZELMER | – | – | 8,6372 | 3,3313 | 2,3831 | 5,0128 |
| TRAKCJA | – | – | – | 2,2314 | 2,1326 | 2,4495 |
| DEBICA | 1,3896 | 1,3790 | 5,0774 | 6,8232 | 4,7885 | 7,7304 |
| SANOK | 2,7812 | 2,6372 | 5,6497 | 16,1127 | 1,9413 | 8,4718 |
| FAMUR | – | – | 3,2337 | 8,4409 | 1,7353 | 9,6573 |
| HBPOLSKA | – | – | – | 4,3614 | 5,7273 | 4,9511 |
| ASSECOSLO | – | – | 1,3758 | 3,4471 | 1,7491 | 2,5298 |
| DOMDEV | – | – | 1,1676 | 1,7733 | 2,0041 | 2,3298 |
| COMP | – | – | 3,9621 | 7,0484 | 1,7550 | 5,8827 |
| SNIEZKA | – | – | 2,9225 | 5,2429 | 2,0357 | 5,0609 |
| MNI | 7,2051 | 4,0972 | 9,4735 | 9,3780 | 2,2636 | 10,4201 |
| GRAJEWO | 14,3823 | 7,7803 | 8,5167 | 4,1560 | 3,3252 | 7,1440 |
| ARMATURA | – | – | – | 5,8156 | 2,3108 | 5,4136 |
| ATM | – | – | 4,1800 | 6,3739 | 1,7579 | 5,6669 |
| ERBUD | – | – | – | 103,0726 | 3,4489 | 77,3475 |
| WAWEL | 1,6112 | 3,5518 | 5,6712 | 2,6486 | 2,5068 | 4,5733 |
| JUTRZENKA | 2,8134 | 3,0035 | 8,1830 | 4,2825 | 1,8133 | 7,4390 |
| ASTARTA | – | – | 4,9992 | 2,7590 | 2,4710 | 3,8071 |
| AZOTYTARNOW | – | – | – | 2,6558 | 2,0686 | 3,3417 |
| BOS | 3,8930 | 2,3107 | 8,9257 | 6,2583 | 2,7462 | 7,3295 |
| ELSTAROIL | – | – | 5,5444 | 3,3549 | 1,5689 | 5,2242 |
| KOELNER | – | – | 4,4488 | 4,4868 | 4,4268 | 5,8094 |
| FORTE | 3,1761 | 5,3666 | 6,6540 | 1,2261 | 4,8137 | 6,6025 |
| ABPL | – | – | 2,5369 | 3,0266 | 4,9396 | 4,2792 |
| RUCH | – | – | 14,6804 | 3,6985 | 1,9246 | 7,8893 |
| MERCOR | – | – | – | 2,9846 | 1,8045 | 3,8092 |
| NEPENTES | – | – | – | 1,2937 | 2,7160 | 2,2676 |
| BARLINEK | – | – | 2,6204 | 14,5781 | 0,6671 | 16,6698 |
| PEKAES | – | – | 2,6961 | 5,5488 | 14,0124 | 7,3369 |
| MCI | – | 3,4631 | 9,3151 | 2,9782 | 3,2774 | 6,6044 |
| POLICE | – | – | 12,3151 | 0,8192 | 3,6905 | 4,1935 |
| ATMGRUPA | – | – | 3,0442 | 1,9304 | 4,3849 | 3,2897 |
| SYGNITY | 2,4405 | 2,3197 | 2,0426 | 3,6864 | 2,3912 | 6,1514 |
| LENTEX | 1,0361 | 2,0674 | 15,3321 | 3,4783 | 2,1580 | 12,0084 |
| TORFARM | – | – | 3,9979 | 1,9690 | 3,0588 | 3,2833 |
| ALMA | 0,7165 | 4,0972 | 9,4735 | 9,3780 | 2,2636 | 10,4201 |
| ENERGOPLD | 6,1771 | 2,7654 | 5,8167 | 4,6978 | 4,4779 | 5,7711 |
| JWCONSTR | – | – | – | 5,2823 | 2,8683 | 4,6638 |
| TIM | 2,0381 | 45,0117 | 9,8881 | 3,2990 | 0,5045 | 17,7547 |
| WARIMPEX | – | – | – | 10,3859 | 3,6615 | 8,5350 |
| WIELTON | – | – | – | 3,6580 | 5,9757 | 4,8606 |
| 08OCTAVA | 1,1832 | 7,2683 | 161,0208 | 3,2580 | 2,8177 | 109,6868 |
| STALPROFI | – | 3,1514 | 5,1936 | 2,1491 | 6,0106 | 4,8578 |
| NOWAGALA | – | – | 4,7663 | 2,9846 | 1,9547 | 3,7785 |
| POLAQUA | – | – | – | 25,8327 | 5,9503 | 24,3707 |
| HAWE | – | – | – | 11,5373 | 8,6392 | 13,2896 |
| MIDAS | 2,2819 | 3,4513 | 207,6061 | 7,0967 | 4,8986 | 172,4341 |
| BBIDEVNFI | 1,6863 | 2,8957 | 47,0115 | 3,9017 | 14,2874 | 33,7730 |
| ORCOGROUP | – | – | – | 7,4421 | 7,1050 | 7,5431 |
| ZURAWIE | – | – | 2,4061 | 5,5156 | 4,9563 | 5,5952 |
| SKOTAN | 1,2862 | 3,8570 | 15,5596 | 7,3514 | 7,3857 | 16,5907 |
| MOSTALEXP | 1,8889 | 2,2292 | 8,9806 | 6,0542 | 3,0700 | 8,7460 |
| LUBAWA | 0,4803 | 4,1135 | 6,9179 | 3,8558 | 2,7299 | 7,5226 |
| MIT | 2,0559 | 15,7297 | 121,1806 | 2,8649 | 3,5972 | 126,6353 |
| BBIZENNFI | 3,2061 | 4,4242 | 25,7852 | 184,1881 | 2,0961 | 250,7270 |
| HUTMEN | 0,9005 | 1,4979 | 10,4604 | 3,8489 | 12,0228 | 9,2898 |
| COGNOR | 0,6459 | 8,1169 | 19,7593 | 5,6979 | 17,7886 | 15,9723 |
| BORYSZEW | 10,0477 | 3,3362 | 5,5068 | 2,9375 | 26,6479 | 19,0367 |
| PROCHNIK | 1,3853 | 4,6288 | 7,9273 | 2,4674 | 3,5794 | 8,3441 |
| KREZUS | 1,5735 | 3,2953 | 178,9117 | 10,5165 | 4,6676 | 129,7721 |
| PONAR | 0,3994 | 2,9697 | 7,4850 | 34,1069 | 10,0565 | 19,0527 |
| IBSYSTEM | 0,9310 | 2,8687 | 10,9869 | 6,2005 | 27,3157 | 11,4119 |
| 06MAGNA | 2,8300 | 3,8100 | 2,6615 | 7,8061 | 5,6225 | 25,9637 |
| HYGIENIKA | – | – | 10,3124 | 5,5303 | 10,7641 | 8,8371 |
| OPTIMUS | 2,0300 | 2,0593 | 206,8268 | 7,1053 | 4,5131 | 96,2485 |
| ATLANTIS | 0,6995 | 2,6615 | 24,5125 | 9,7771 | 13,2893 | 20,4029 |
| RUBICON | 2,9941 | 2,0189 | 162,4117 | 13,3092 | 5,2421 | 87,5665 |
| KOLASTYNA | – | – | – | 10,1849 | 9,1142 | 9,4219 |
| SWIG80 | 2,8513 | 5,6595 | 5,1626 | 3,0067 | 2,7121 | 4,5835 |