Price jumps on European stock markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F14%3A00428294" target="_blank" >RIV/00216208:11640/14:00428294 - isvavai.cz</a>

Alternative codes found

RIV/67985998:_____/14:00439494

Result on the web

<a href="http://dx.doi.org/10.1016/j.bir.2013.11.003" target="_blank" >http://dx.doi.org/10.1016/j.bir.2013.11.003</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.bir.2013.11.003" target="_blank" >10.1016/j.bir.2013.11.003</a>

Result language

angličtina

Original language name

Price jumps on European stock markets

Original language description

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identifyprice jumps: Method 1 minimizes the probability of false jump detection (the Type-II Error-Optimal price jump indicator) and Method 2 maximizes the probability of successful jump detection (the Type-I Error-Optimal price jump indicator). We show that individual stock markets exhibited differences in price jump intensity before and during the crisis. We also show that in general the variance of price jump intensity could not be distinguished as different in the pre-crisis period from that during the crisis. Our results indicate that, contrary to common belief, the intensity of price jumps does not uniformly increase during a period of financial distress. However, there do exist differences in price jump dynamics across stock markets and

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Borsa Istanbul Review

ISSN

2214-8450

e-ISSN

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Volume of the periodical

14

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

10-22

UT code for WoS article

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EID of the result in the Scopus database

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