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

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  • Hanousek, Jan
  • Novotný, Jan

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.

Suggested Citation

  • Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
  • Handle: RePEc:eee:ememar:v:13:y:2012:i:2:p:184-201
    DOI: 10.1016/j.ememar.2012.01.005
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    Cited by:

    1. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.
    2. repec:eee:ememar:v:32:y:2017:i:c:p:200-219 is not listed on IDEAS
    3. Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015. "High frequency characterization of Indian banking stocks," Working Papers 2015-04, University of Tasmania, Tasmanian School of Business and Economics.

    More about this item

    Keywords

    Central European stock markets; Financial markets; Price jumps; Market returns; Standardized returns;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • P59 - Economic Systems - - Comparative Economic Systems - - - Other

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