Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě

0427914 - NHÚ 2015 RIV CZ cze J - Journal Article
Hanousek, Jan - Novotný, J.
Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě.
[Price jumps during financial crisis: from intuition to financial regulation.]
Politická ekonomie. Roč. 62, č. 1 (2014), s. 32-48. ISSN 0032-3233. E-ISSN 0032-3233
R&D Projects: GA ČR(CZ) GA14-27047S
Institutional support: RVO:67985998
Keywords : European emerging stock markets * Lehman Brothers * price jumps * financial crisis
Subject RIV: AH - Economics
Impact factor: 0.650, year: 2014

V článku analyzujeme vliv pádu Lehman Brothers na volatilitu a frekvenci cenových skoků na burze cenných papírů Praha (BCPP) a New York Stock Exchange (NYSE). Pro analýzu jsme použili vysokofrekvenční data od ledna 2008 do konce července 2009. Naše výsledky naznačují, že oba trhy jsou různé - extrémní pohyby cen na BCPP jsou nezávislé na CDS pohybech, zatímco analýza NYSE ukazuje, že změny jsou specifické pro společnosti a/nebo sektory.

In this paper, we employ the high-frequency data from Prague Stock Exchange (PSE) and New York Stock Exchange (NYSE) to analyse the variation in extreme price movements and market volatility around the period of fall of Lehman Brothers. The sample ranges from January 2008 to July 2009. We employ the price jump indicators optimal with respect to Type-I and Type-II errors. The former one shows an increase in market volatility and extreme price movements during financial distress, while the later one distinguishes extreme price movements and shows that they do not react in the long-run to financial distress at PSE, while for the matured US market suggests a company/sector-specific reaction. We analyse behaviour of extreme price movements with respect to CDS. Our results suggest that both markets are different extreme price movements at PSE are independent of CDS movements, while those at NYSE show a sector/company specific reactions to CDS.
Permanent Link: http://hdl.handle.net/11104/0233338