Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange
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
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- 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
8820, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Marc Hallin & Jean-Marie Dufour, 1991. "Nonuniform bounds for nonparametric t-tests," ULB Institutional Repository 2013/2027, ULB -- Universite Libre de Bruxelles.
- Dufour, J.M., 1988. "Non-Uniform Bounds for Nonparametric T Tests," Cahiers de recherche 8820, Universite de Montreal, Departement de sciences economiques.
- Renato Flôres & 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.
- 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 277-92.
When requesting a correction, please mention this item's handle: RePEc:kap:ecopln:v:30:y:1997:i:2:p:91-105. See general information about how to correct material in RePEc.
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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.