Počet záznamů: 1

Were stocks during the financial crisis more jumpy: a comparative study

  1. 1.
    0351488 - NHU-C 2011 RIV CZ eng J - Článek v odborném periodiku
    Novotný, Jan
    Were stocks during the financial crisis more jumpy: a comparative study.
    CERGE-EI Working Paper Series. -, č. 416 (2010), s. 1-57 ISSN 1211-3298
    Grant CEP: GA ČR(CZ) GA402/08/1376; GA MŠk LC542
    Grant ostatní:MŠk(CZ) SVV-2010-261801
    Výzkumný záměr: CEZ:MSM0021620846
    Klíčová slova: financial markets * price jumps * extreme price movements
    Kód oboru RIV: AH - Ekonomie
    http://www.cerge-ei.cz/pdf/wp/Wp416.pdf http://www.cerge-ei.cz/pdf/wp/Wp416.pdf

    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.
    Trvalý link: http://hdl.handle.net/11104/0191228
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