Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock
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 .
|Date of creation:||28 Jun 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: http://www.sgh.waw.pl/instytuty/zes
More information through EDIRC
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 references are entirely missing, you can add them using this form.