TESTING THE INFORMATION-STRUCTURE OF EASTERN-EUROPEAN MARKETS - THE WARSAW-STOCK-EXCHANGE

This paper investigates the content of the information set used by the agents in the Warsaw Stock Exchange - WSE. Three ''candidate variable s'' 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 methodolo gy employed supposes that the innovations in the price series are orth ogonal to all variables within or outside the information set. Beyond the question of how to specify the agents expectations, the WSE tradin g rules and the high volatility period present in all monthly price se ries were additional problems to render it operational. Given the solu tions adopted, in only three out of the nine cases tested, it was poss ible to reject the null that the candidate did not belong to the infor mation set. This is a signal that macroeconomic fundamentals are still absent from the WSE.