EconPapers    
Economics at your fingertips  
 

Price Jumps on European Stock Markets

Jan Hanousek, Evžen Kočenda and Jan Novotny ()

No wp1059, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: 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.

Keywords: European stock markets; price jump indicators; non-parametric testing; clustering analysis; financial econometrics; emerging markets. (search for similar items in EconPapers)
JEL-codes: C14 C58 F37 G15 G17 (search for similar items in EconPapers)
Pages: pages
Date: 2013-09-01
New Economics Papers: this item is included in nep-eec, nep-fmk, nep-ias and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp1059.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.wdi.umich.edu/files/Publications/WorkingPapers/wp1059.pdf [302 Found]--> https://wdi.umich.edu/files/Publications/WorkingPapers/wp1059.pdf)

Related works:
Journal Article: Price jumps on European stock markets (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2013-1059

Access Statistics for this paper

More papers in William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan 724 E. University Ave, Wyly Hall 1st Flr, Ann Arbor MI 48109. Contact information at EDIRC.
Bibliographic data for series maintained by WDI ().

 
Page updated 2025-03-22
Handle: RePEc:wdi:papers:2013-1059