IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock

Listed author(s):
  • Piotr Orlowski


    (Department of Applied Econometrics, Warsaw School of Economics)

Registered author(s):

    This 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 [1].

    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.

    File URL:
    Download Restriction: no

    Paper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 38.

    in new window

    Length: 27 pages
    Date of creation: 28 Jun 2009
    Handle: RePEc:wse:wpaper:38
    Contact details of provider: Postal:
    02-513 Warszawa, ul. Madalinskiego 6/8

    Phone: + (48)(22) 49 12 51
    Fax: + (48)(22) 49 53 12
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wse:wpaper:38. 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: (Marcin Owczarczuk)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.