Efficiency of the derivatives market listed on the Warsaw Stock Exchange

The issue of market efficiency is a concept that has been studied quite extensively by financial theorists seeking to answer the question of whether it is possible to create an investment strategy that yields above-average returns on the basis of a given set of information Ft. If capital markets are efficient, then shares and other financial instruments are priced correctly and adequately reflect the value of the corresponding assets. The opposing idea is that the valuation of financial instruments contains systematic and detectable errors, and that an investor able to observe these deviations can achieve above-average returns. The above position is directly related to the hypothesis of market efficiency in the informational sense, coming in three forms, depending on the available information set Ft at time t. The efficiency of capital markets in the informational sense is also linked to the allocative efficiency of these markets. The capital market is the place where its participants reflect their opinions about the future, e.g.: which projects will be realised, which new technologies are likely to develop or which products consumers will buy. If financial asset prices reflect these expectations, if the market is efficient, they provide a valuable signal to managers seeking to maximise the value of their company. On the other hand, if asset prices currently contain significant systematic errors, managers’ decisions based on this information are vulnerable to distortions. This paper aims to verify the hypothesis of market efficiency in the information-poor form for derivatives listed on the Warsaw Stock Exchange. In addition, an analysis of the reasons for differences in the efficiency of individual instruments will be included, as well as observations on the variation in the optimised parameters of individual investment strategies. In the introduction, it is worth highlighting a few characteristics of this study.