Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis

CERGE-EI Working Paper Series No. 412

33 Pages Posted: 29 Aug 2010

See all articles by Jan Novotny

Jan Novotny

City University London - Faculty of Finance; Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)

Date Written: August 1, 2010

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

JEL Classification: G15, P59

Suggested Citation

Novotny, Jan, Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis (August 1, 2010). CERGE-EI Working Paper Series No. 412. Available at SSRN: https://ssrn.com/abstract=1667056 or http://dx.doi.org/10.2139/ssrn.1667056

Jan Novotny (Contact Author)

City University London - Faculty of Finance ( email )

London, EC2Y 8HB
Great Britain

Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) ( email )

P.O. Box 882
7 Politickych veznu
Prague 1, 111 21
Czech Republic

HOME PAGE: http://www.cerge-ei.cz

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