Price jumps on European stock markets

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985998:_____/14:00439494

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Price jumps on European stock markets

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Price jumps on European stock markets

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Borsa Istanbul Review

ISSN

2214-8450

e-ISSN

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Svazek periodika

14

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

10-22

Kód UT WoS článku

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EID výsledku v databázi Scopus

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