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

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About: Price jumps in Visegrad-country stock markets: an empirical analysis Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
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/predkladatel	Centrum pro ekonomický výzkum a doktorská studia
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GA402/08/1376)
http://linked.open...iv/cisloPeriodika	2
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Hanousek, Jan 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	161577
http://linked.open...ai/riv/idVysledku	RIV/00216208:11640/12:00378639
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Central European stock markets; financial markets; price jumps (en)
http://linked.open.../riv/klicoveSlovo	financial markets price jumps Central European stock markets
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[7ADB7E821C1A]
http://linked.open...i/riv/nazevZdroje	Emerging Markets Review
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-day Data Approach
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	13
http://linked.open...iv/tvurceVysledku	Hanousek, Jan Novotný, Jan
http://linked.open...ain/vavai/riv/wos	000304745300005
issn	1566-0141
number of pages	18 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.ememar.2012.01.005
http://localhost/t...ganizacniJednotka	11640
is http://linked.open...avai/riv/vysledek of	Price jumps in Visegrad-country stock markets: an empirical analysis

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