Počet záznamů: 1
Price jumps on European stock markets
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SYSNO ASEP 0428294 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Ostatní články Název Price jumps on European stock markets Tvůrce(i) Hanousek, Jan (NHU-C) RID
Kočenda, Evžen (NHU-C) RID
Novotný, Jan (NHU-C) RIDZdroj.dok. Borsa Istanbul Review - ISSN 2214-8450
Roč. 14, č. 1 (2014), s. 10-22Poč.str. 13 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova stock markets ; price jump indicators ; non-parametric testing Vědní obor RIV AH - Ekonomie CEP GAP403/11/0020 GA ČR - Grantová agentura ČR GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora NHU-C - PRVOUK-P23 DOI 10.1016/j.bir.2013.11.003 Anotace 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. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2015
Počet záznamů: 1