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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.
  • 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. (en)
Title
  • Price jumps in Visegrad-country stock markets: an empirical analysis
  • Price jumps in Visegrad-country stock markets: an empirical analysis (en)
skos:prefLabel
  • Price jumps in Visegrad-country stock markets: an empirical analysis
  • Price jumps in Visegrad-country stock markets: an empirical analysis (en)
skos:notation
  • RIV/00216208:11640/12:00378639!RIV13-GA0-11640___
http://linked.open...avai/riv/aktivita
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  • I, P(GA402/08/1376)
http://linked.open...iv/cisloPeriodika
  • 2
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  • 161577
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  • RIV/00216208:11640/12:00378639
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  • Central European stock markets; financial markets; price jumps (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [7ADB7E821C1A]
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  • Emerging Markets Review
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  • 13
http://linked.open...iv/tvurceVysledku
  • Hanousek, Jan
  • Novotný, Jan
http://linked.open...ain/vavai/riv/wos
  • 000304745300005
issn
  • 1566-0141
number of pages
http://bibframe.org/vocab/doi
  • 10.1016/j.ememar.2012.01.005
http://localhost/t...ganizacniJednotka
  • 11640
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