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Were stocks during the financial crisis more jumpy: a comparative study
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SYSNO ASEP 0351488 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Were stocks during the financial crisis more jumpy: a comparative study Author(s) Novotný, Jan (NHU-C) RID Source Title CERGE-EI Working Paper Series - ISSN 1211-3298
-, č. 416 (2010), s. 1-57Number of pages 57 s. Publication form www - www Language eng - English Country CZ - Czech Republic Keywords financial markets ; price jumps ; extreme price movements Subject RIV AH - Economics R&D Projects GA402/08/1376 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C Annotation This paper empirically analysis the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the recent financial turmoil caused no change in the price jump behavior. To accomplish this, I employ data on realized trades for 16 stocks and one ETF from the NYSE database. These data are at a 1-minute frequency and span the period from January 2008 to the end of July 2009, where the recent financial crisis is generally understood to start with the plunge of Lehman Brothers shares on September 9, 2008. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2011
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