Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis

Jan Novotny ()

CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague

Abstract: 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. First, I analyze the distribution of returns to support the presence of jumps. Second, I find that the distributions of the price jump indicators employed are significantly different for positive moves compared with negative moves in all the markets studied. In addition, the comparison of jump distributions across different frequencies and markets suggests a possible relationship with market micro-structure as well as with the composition of investors. In particular, at the Prague Stock Exchange, the lower the frequency, the lower the number of extreme jumps, but this is not so at the other markets. Last but not least, I show that the recent financial crisis caused an overall increase in volatility. However, this was not translated into an increase in the absolute number of jumps.

Keywords: financial markets; Visegrad region; price jumps. (search for similar items in EconPapers)
JEL-codes: G15 P59 (search for similar items in EconPapers)
Date: 2010-08
New Economics Papers: this item is included in nep-fmk and nep-mst
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Journal Article: Price jumps in Visegrad-country stock markets: An empirical analysis (2012)
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