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| Author: | Flores, R. Jr Szafarz, A. |
| Title: | Testing the information structure of Eastern European markets: the Warsaw stock exchange |
| Journal: | Economics of Planning
1997 : VOL. 30:2/3, p. 91-105 |
| Index terms: | EUROPE, EAST MARKETS INFORMATION |
| Language: | eng |
| 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. |
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