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

0378639 - NHU-C 2013 RIV US eng J - Journal Article
Hanousek, Jan - Novotný, Jan
Price jumps in Visegrad-country stock markets: an empirical analysis.
Emerging Markets Review. Roč. 13, č. 2 (2012), s. 184-201. ISSN 1566-0141. E-ISSN 1873-6173
R&D Projects: GA ČR(CZ) GA402/08/1376
Grant - others:UK(CZ) GAUK 271111
Institutional support: PRVOUK-P23
Keywords : Central European stock markets * financial markets * price jumps
Subject RIV: AH - Economics
Impact factor: 1.167, year: 2012

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.
Permanent Link: http://hdl.handle.net/11104/0210060