DP2134 Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges

Author(s):	Ania Zalewska
Publication Date:	April 1999
Keyword(s):	Efficiency, Learning, Stock Markets, Transition Economics
JEL(s):	C22, G14, G15
Programme Areas:	Transition Economics
Link to this Page:	cepr.org/active/publications/discussion_papers/dp.php?dpno=2134

This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98, and demonstrates that an auction market (with call trading) becomes efficient more quickly than a dealer market (with continuous trading). As an econometric tool for comparative analysis, she uses a Test for Evolving Efficiency which is a GARCH-M model with time-varying constraints.