This paper applies a bid-ask spread decomposition model of McGroarty, Gwilym and Thomas (Journal of Business Finance and Accounting, 2007, 34 (9-10), pp. 1635-1650) to the Warsaw Stock Exchange (WSE). A proportion of price change that is due to private information, temporary buy-sell imbalances and price clustering is estimated on the intra-day data on stocks included in the WSE index WIG20. The data covers the period November 17, 2000-April 26, 2013. In doing so the generalized method of moments (GMM) is employed. When information on trade is rounded to the nearest second it is found that the price changes are almost wholly driven by the order imbalances. Rounding information to the nearest 1, 5 minutes and quarter of an hour yields that private information plays a moderate role in the price setting. The impact of price clustering is found negligible regardless the way information on trade is rounded.

JEL Classification Codes: C58

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