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

  • Hanousek, Jan
  • Novotný, Jan

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.

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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 13 (2012)
Issue (Month): 2 ()
Pages: 184-201

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Handle: RePEc:eee:ememar:v:13:y:2012:i:2:p:184-201
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