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Price jumps in Visegrad country stock markets: an empirical analysis

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    SYSNO ASEP0351500
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JOstatní články
    TitlePrice jumps in Visegrad country stock markets: an empirical analysis
    Author(s) Novotný, Jan (NHU-C) RID
    Source TitleCERGE-EI Working Paper Series - ISSN 1211-3298
    -, č. 412 (2010), s. 1-33
    Number of pages33 s.
    Publication formwww - www
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordsfinancial markets ; Visegrad region ; price jumps
    Subject RIVAH - Economics
    R&D ProjectsGA402/08/1376 GA ČR - Czech Science Foundation (CSF)
    LC542 GA MŠk - Ministry of Education, Youth and Sports (MEYS)
    CEZMSM0021620846 - NHU-C
    AnnotationI 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.
    WorkplaceEconomics Institute - CERGE
    ContactTomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122
    Year of Publishing2011
Number of the records: 1