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
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Other versions of this item:
- Flores, Renato G, Jr & Szafarz, Ariane, 1997. " Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 91-105.
- Renato Flôres & Ariane Szafarz, 1997. "Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange," Economic Change and Restructuring, Springer, vol. 30(2), pages 91-105, May.
- Renato Flôres & 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.
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