Market microstructure and security pricing in the warsaw market

John Sell

International Advances in Economic Research, 2003, vol. 9, issue 2, 113 pages

Abstract: The speed with which information is impounded in security prices is evaluated with respect to several market microstructure variables in the context of a dynamic, rapidly-changing market, the Warsaw Stock Exchange. The dynamic nature of this market allows for predictions concerning pricing efficiency in more mature markets as they merge or expand their number of offerings. The results indicate that the performance of the Warsaw Exchange compares favorably with that of the average security traded on the NASDAQ. To the extent that recent mergers of several exchanges have had the effect of engaging more market participants and enhancing trading opportunities through expanded hours, trading efficiency has been positively affected. There is also weaker support for the view that consolidating securities on fewer exchanges will improve informational efficiency as well. Copyright International Atlantic Economic Society 2003

Date: 2003
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DOI: 10.1007/BF02295711

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