Price jumps in Visegrad-country stock markets: An empirical analysis

Jan Hanousek and Jan Novotny ()

Emerging Markets Review, 2012, vol. 13, issue 2, 184-201

Abstract: We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. We use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with different market regulation and micro-structure. We also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps.

Keywords: Central European stock markets; Financial markets; Price jumps; Market returns; Standardized returns (search for similar items in EconPapers)
JEL-codes: G15 P59 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Working Paper: Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:13:y:2012:i:2:p:184-201

DOI: 10.1016/j.ememar.2012.01.005

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