About: Were stocks during the financial crisis more jumpy: a comparative study

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This paper empirically analysis the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the recent financial turmoil caused no change in the price jump behavior. To accomplish this, I employ data on realized trades for 16 stocks and one ETF from the NYSE database. These data are at a 1-minute frequency and span the period from January 2008 to the end of July 2009, where the recent financial crisis is generally understood to start with the plunge of Lehman Brothers shares on September 9, 2008. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. This paper empirically analysis the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the recent financial turmoil caused no change in the price jump behavior. To accomplish this, I employ data on realized trades for 16 stocks and one ETF from the NYSE database. These data are at a 1-minute frequency and span the period from January 2008 to the end of July 2009, where the recent financial crisis is generally understood to start with the plunge of Lehman Brothers shares on September 9, 2008. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. (en)
Title	Were stocks during the financial crisis more jumpy: a comparative study Were stocks during the financial crisis more jumpy: a comparative study (en)
skos:prefLabel	Were stocks during the financial crisis more jumpy: a comparative study Were stocks during the financial crisis more jumpy: a comparative study (en)
skos:notation	RIV/00216208:11640/10:00351488!RIV11-GA0-11640___
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GA402/08/1376), P(LC542), S, Z(MSM0021620846)
http://linked.open...iv/cisloPeriodika	416
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Novotný, Jan
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...dnocenehoVysledku	298731
http://linked.open...ai/riv/idVysledku	RIV/00216208:11640/10:00351488
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	financial markets; price jumps; extreme price movements (en)
http://linked.open.../riv/klicoveSlovo	financial markets price jumps extreme price movements
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[96D07383A00A]
http://linked.open...i/riv/nazevZdroje	CERGE-EI Working Paper Series
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Center of Advanced Political Economy Research Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-day Data Approach
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	-
http://linked.open...iv/tvurceVysledku	Novotný, Jan
http://linked.open...n/vavai/riv/zamer	Ekonomické dopady evropské integrace na ČR
issn	1211-3298
number of pages	57 (xsd:int)
http://localhost/t...ganizacniJednotka	11640

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