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

Author

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  • Piotr Orlowski

    (Department of Applied Econometrics, Warsaw School of Economics)

Abstract

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].

Suggested Citation

  • Piotr Orlowski, 2009. "Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock," Working Papers 38, Department of Applied Econometrics, Warsaw School of Economics.
    • Handle: RePEc:wse:wpaper:38
    as

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    File URL: http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp04-09.pdf
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    More about this item

    Keywords

    intertrade durations; ACD model; ACM model; market microstructure;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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