Publikace na Fakulta sociálních věd, Matematicko-fyzikální fakulta, Centrum pro ekonomický výzkum a doktorské studium |
2010
Abstrakt
This paper empirically analysis the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the recent financial turmoil caused no change in the price jump behavior.
To accomplish this, I employ data on realized trades for 16 stocks and one ETF from the NYSE database. These data are at a 1-minute frequency and span the period from January 2008 to the end of July 2009, where the recent financial crisis is generally understood to start with the plunge of Lehman Brothers shares on September 9, 2008.
I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior.