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

• Autorzy: Piotr Orłowski
• Języki publikacji: PL

Abstrakty

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 (original abstract)

Słowa kluczowe

PL

Handel; Aktywa; Analiza cen

EN

Trade; Assets; Price analysis

• Czasopismo: Department of Applied Econometrics Working Papers
• Rocznik: 2009
• Numer: nr 4
• Strony: 27

Twórcy

autor

Piotr Orłowski

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