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Price jumps on European stock markets
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SYSNO ASEP 0428294 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Price jumps on European stock markets Author(s) Hanousek, Jan (NHU-C) RID
Kočenda, Evžen (NHU-C) RID
Novotný, Jan (NHU-C) RIDSource Title Borsa Istanbul Review - ISSN 2214-8450
Roč. 14, č. 1 (2014), s. 10-22Number of pages 13 s. Publication form Print - P Language eng - English Country NL - Netherlands Keywords stock markets ; price jump indicators ; non-parametric testing Subject RIV AH - Economics R&D Projects GAP403/11/0020 GA ČR - Czech Science Foundation (CSF) GBP402/12/G097 GA ČR - Czech Science Foundation (CSF) Institutional support NHU-C - PRVOUK-P23 DOI 10.1016/j.bir.2013.11.003 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2015
Number of the records: 1