Price jumps on European stock markets

0428294 - NHU-C 2015 RIV NL eng J - Článek v odborném periodiku
Hanousek, Jan - Kočenda, Evžen - Novotný, Jan
Price jumps on European stock markets.
Borsa Istanbul Review. Roč. 14, č. 1 (2014), s. 10-22. ISSN 2214-8450. E-ISSN 2214-8469
Grant CEP: GA ČR(CZ) GAP403/11/0020; GA ČR(CZ) GBP402/12/G097
Grant ostatní: UK(CZ) UNCE 204005/2012
Institucionální podpora: PRVOUK-P23
Klíčová slova: stock markets * price jump indicators * non-parametric testing
Kód oboru RIV: AH - Ekonomie

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 identify price 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 investors have to model emerging and mature markets differently to properly reflect their individual dynamics.
Trvalý link: http://hdl.handle.net/11104/0233878