Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock
AbstractThis paper uses a restricted factor model to estimate the HICP index excluding relative prices changes. The index thus obtained, hereinafter referred to as pure inflation, demonstrates stronger relationship to This paper analyses the properties of the transaction process for the most liquid stock traded at the Warsaw Stock Exchange, namely Bioton (ISIN: PLBIOTN00029), in the light of market microstructure theory. The Autoregressive Conditional Duration and Autoregressive Conditional Multinomial models are estimated for the transaction process. Estimation results are interpreted in favour or against market microstructure hypotheses. Tests are conducted for the ACD models in order to assess their fit to the data and in order to search for ways of improving fit. The article is a follow-up of research by Bien .
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Bibliographic InfoPaper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 38.
Length: 27 pages
Date of creation: 28 Jun 2009
Date of revision:
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intertrade durations; ACD model; ACM model; market microstructure;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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