Market reactions to corporate regulatory announcements: evidence from Polish Stock Exchange

Purpose: This research examines stock price reactions to corporate regulatory announcements on the Warsaw Stock Exchange (WSE), testing semi-strong market efficiency in an emerging European market by analyzing high-frequency intraday price movements following mandatory disclosures.The study determines information incorporation speed, reaction pattern differences, and implications for market efficiency theory.Design/methodology/approach: Using event study methodology adapted for high-frequency data, the study analyzes 696 regulatory announcements (ESPI) from 52 liquid companies (WIG20 and WIG40 indices) from November 2024 to March 2025.Price reactions are measured at 1-120 minute intervals post-announcement, with raw returns as abnormal return proxies and significance assessed via t-tests, Wilcoxon tests, and sign tests.Findings: Results reveal gradual price adjustment, with only 5% of total 2-hour impact occurring within the first minute and 74% within the first hour.Neutral reactions dominate initially (97% at 1 minute) but decrease to 57% by 2 hours.While average price changes are minimal, sign tests show significant deviation from random distribution.Volatility increases steadily over the 2-hour window, contrary to expectations that information resolves uncertainty.Research limitations/implications: Limitations include the short study period, sample dominated by Financial Reports, and potential microstructure effects in high-frequency returns.Findings challenge strict semi-strong efficiency applicability in Polish markets, suggesting efficiency models need adaptation for emerging markets.Practical implications: For investors, findings suggest potential trading opportunities despite limited profitability after transaction costs.For regulators, results highlight the importance of effective disclosure dissemination.For corporate managers, understanding gradual market reactions can inform communication strategies.Originality/value: This study provides detailed empirical evidence on intraday market reactions in Poland by: (1) documenting information incorporation patterns at high frequency;(2) analyzing diverse ESPI messages beyond typical studies; (3) providing specific evidence on WSE efficiency; and (4) identifying anomalies like increasing post-announcement volatility that challenge traditional market efficiency models.