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Price jumps in Visegrad country stock markets: an empirical analysis
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SYSNO ASEP 0351500 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Price jumps in Visegrad country stock markets: an empirical analysis Author(s) Novotný, Jan (NHU-C) RID Source Title CERGE-EI Working Paper Series - ISSN 1211-3298
-, č. 412 (2010), s. 1-33Number of pages 33 s. Publication form www - www Language eng - English Country CZ - Czech Republic Keywords financial markets ; Visegrad region ; price jumps 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 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2011
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