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Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange

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  • Renato Flôres
  • Ariane Szafarz

Abstract

This 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 Kluwer Academic Publishers 1997

Suggested Citation

  • 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.
  • Handle: RePEc:kap:ecopln:v:30:y:1997:i:2:p:91-105
    DOI: 10.1023/A:1003055524004
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    References listed on IDEAS

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    1. Dufour, Jean-Marie & Hallin, Marc, 1991. "Nonuniform Bounds for Nonparametric t-Tests," Econometric Theory, Cambridge University Press, vol. 7(02), pages 253-263, June.
    2. 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, vol. 27(3), pages 277-292.
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    Cited by:

    1. 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.
    2. repec:sgm:pzwzuw:v:15:i:65:y:2017:p:69-85 is not listed on IDEAS
    3. Joanna Malecka, 2016. "Alternative Securities Markets in Poland and the United Kingdom (Alternatywne rynki obrotu papierami wartosciowymi w Polsce i Wielkiej Brytanii)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 14(63), pages 11-24.

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