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

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  • Flores, Renato G, Jr
  • Szafarz, Ariane

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 1997 by Kluwer Academic Publishers

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  • Flores, Renato G, Jr & Szafarz, Ariane, 1997. "Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 91-105.
    • Handle: RePEc:kap:ecopln:v:30:y:1997:i:2-3:p:91-105
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    1. Dufour, J.M., 1988. "Non-Uniform Bounds for Nonparametric T Tests," Cahiers de recherche 8820, Universite de Montreal, Departement de sciences economiques.
    2. Dufour, Jean-Marie & Hallin, Marc, 1991. "Nonuniform Bounds for Nonparametric t-Tests," Econometric Theory, Cambridge University Press, vol. 7(2), pages 253-263, June.
    3. 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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    1. Angelovska, Julijana & Ivanovski, Zoran, 2018. "Accuracy In Risk Estimation Based On Simple Sma And Ewma Models:Evidence From Macedonian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 17-27.
    2. Nakovski, Dejan & Milenkovski, Ace & Gjorgievski, Mijalce, 2018. "Indicators For Defining The Emitting Areas In Tourism," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 39-48.
    3. Joanna Malecka & Teresa Luczka, 2017. "The Private Equity Market in Poland and in Central and Eastern Europe: Selected Aspects," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(65), pages 69-85.
    4. Novkovska, Blagica & Serafimovic, Gordana, 2018. "Recognizing The Vulnerability Of Generation Z To Economic And Social Risks," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 29-37.
    5. 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.
    6. Yu Hsing, 2005. "Short-Term Output Fluctuations in Poland: An Application of the Is-Mp-As Model," The American Economist, Sage Publications, vol. 49(2), pages 44-50, October.
    7. 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.

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