Shluková analýza skoků na kapitálových trzích

Cluster Analysis of Jumps on Capital Markets

Jan Hanousek, Evžen Kočenda and Jan Novotný

Politická ekonomie, 2016, vol. 2016, issue 2, 127-144

Abstract: Cluster Analysis of Jumps on Capital Markets We analyze the behavior and performance of multiple price jump indicators across capital markets and over time. By using high-frequency we perform cluster analysis of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II errors. We show that clusters of price jump indicators do not exhibit equal size. Clusters are stable across stock market indices and time. Detected numbers of price jumps are also stable over time. The recent financial crisis does not seem to affect the overall jumpiness of mature or emerging stock markets. Our results support the stress testing approach of the Basel III. Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress testing.

Keywords: price jumps measures; nonparametric testing; financial econometrics; cluster analysis; Basel agreements (search for similar items in EconPapers)
JEL-codes: C14 C58 F37 G15 G17 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.18267/j.polek.1059

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