Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange
AbstractThis paper investigates the content of the information set used by the agents in the Warsaw Stock Exchange--WSE. Three "candidate variables" are examined--consumers' prices, the zloty/US$ exchange rate and the refinancing rate of the National Bank of Poland--with respect to three WSE stocks, from different sectors of the economy. The methodology employed supposes that the innovations in the price series are orthogonal to all variables within or outside the information set. Beyond the question of how to specify the agents expectations, the WSE trading rules and the high volatility period present in all monthly price series were additional problems to render it operational. Given the solutions adopted, in only three out of the nine cases tested, it was possible to reject the null that the candidate did not belong to the information set. This is a signal that macroeconomic fundamentals are still absent from the WSE. Copyright 1997 by Kluwer Academic Publishers
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Economics of Planning.
Volume (Year): 30 (1997)
Issue (Month): 2-3 ()
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=113294
Other versions of this item:
- Renato Flôres & Ariane Szafarz, 1997. "Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange," Economic Change and Restructuring, Springer, Springer, vol. 30(2), pages 91-105, May.
- Renato FlÃ´res & Ariane Szafarz, 1997. "Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange," ULB Institutional Repository 2013/707, ULB -- Universite Libre de Bruxelles.
- Renato G. Flores & JrAriane Szafarz, . "Testing the Information Structure of eastern European Markets: The Warsaw Stock Exchange," Ace Project Memoranda 96/7, Department of Economics, University of Leicester.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Flores, Renato G, Jr & Monteiro, Marcos de B & Szafarz, Ariane, 1994.
" Exchange Rate Volatility in High Inflation Economies: An Econometric Study of Poland and Brazil,"
Economic Change and Restructuring, Springer,
Springer, vol. 27(3), pages 277-92.
- Renato FlÃ´res & Marcos de B. Monteiro & Ariane Szafarz, 1994. "Exchange rate volatility in high-inflation economies: an econometric study of Poland and Brazil," ULB Institutional Repository 2013/693, ULB -- Universite Libre de Bruxelles.
- Marie Christine Adam & Ariane Szafarz, 1993.
"Speculative Bubbles and Financial Markets,"
ULB Institutional Repository
2013/665, ULB -- Universite Libre de Bruxelles.
- Dufour, J.M., 1988.
"Non-Uniform Bounds for Nonparametric T Tests,"
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
8820, Universite de Montreal, Departement de sciences economiques.
- Dufour, J-M., 1988. "Non-Uniform Bounds For Nonparametric T Tests," Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ 8820, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- Marc Hallin & Jean-Marie Dufour, 1991. "Nonuniform bounds for nonparametric t-tests," ULB Institutional Repository 2013/2027, ULB -- Universite Libre de Bruxelles.
- Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.