Price jumps in Visegrad country stock markets: an empirical analysis

0351500 - NHU-C 2011 RIV CZ eng J - Journal Article
Novotný, Jan
Price jumps in Visegrad country stock markets: an empirical analysis.
CERGE-EI Working Paper Series. -, č. 412 (2010), s. 1-33. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠMT LC542
Grant - others:MŠk(CZ) SVV-2010-261801
Institutional research plan: CEZ:MSM0021620846
Keywords : financial markets * Visegrad region * price jumps
Subject RIV: AH - Economics
http://www.cerge-ei.cz/pdf/wp/Wp412.pdf

I empirically study price jumps using high frequency data comprising 5-, 10-, 15- and 30-minute market data on the main indices from the Prague, Warsaw, Budapest and Frankfurt Stock Exchanges for June 2003 to the end of 2008. I use two definitions of price jumps: the price jump index and normalized returns.
Permanent Link: http://hdl.handle.net/11104/0191239