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

Piotr Orlowski ()
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Piotr Orlowski: Department of Applied Econometrics, Warsaw School of Economics

No 38, Working Papers from 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].

Keywords: intertrade durations; ACD model; ACM model; market microstructure (search for similar items in EconPapers)
JEL-codes: C32 C59 G14 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2009-06-28
New Economics Papers: this item is included in nep-mst
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