Price jumps in Visegrad-country stock markets: an empirical analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F12%3A00378639" target="_blank" >RIV/00216208:11640/12:00378639 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ememar.2012.01.005" target="_blank" >http://dx.doi.org/10.1016/j.ememar.2012.01.005</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ememar.2012.01.005" target="_blank" >10.1016/j.ememar.2012.01.005</a>

Result language
angličtina
Original language name
Price jumps in Visegrad-country stock markets: an empirical analysis
Original language description
We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. We use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with different market regulation and microstructure. We also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA402%2F08%2F1376" target="_blank" >GA402/08/1376: Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-day Data Approach</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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