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Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě
[Price Jumps during Financial Crisis: From Intuition to Financial Regulation]

Author

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  • Jan Hanousek
  • Jan Novotný

Abstract

In this paper, we employ the high-frequency data from Prague Stock Exchange (PSE) and New York Stock Exchange (NYSE) to analyse the variation in extreme price movements and market volatility around the period of fall of Lehman Brothers. The sample ranges from January 2008 to July 2009. We employ the price jump indicators optimal with respect to Type-I and Type-II errors. The former one shows an increase in market volatility and extreme price movements during financial distress, while the later one distinguishes extreme price movements and shows that they do not react in the long-run to fi nancial distress at PSE, while for the matured US market suggests a company/sector-specific reaction. We analyse behaviour of extreme price movements with respect to CDS. Our results suggest that both markets are different - extreme price movements at PSE are independent of CDS movements, while those at NYSE show a sector/company specific reactions to CDS.

Suggested Citation

  • Jan Hanousek & Jan Novotný, 2014. "Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě [Price Jumps during Financial Crisis: From Intuition to Financial Regulation]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 32-48.
    • Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:936:p:32-48
    DOI: 10.18267/j.polek.936
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    Cited by:

    1. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
    2. Zuzana Machová & Igor Kotlán, 2015. "Právní jistota - možný problém daňové politiky vyspělých zemí? [Legal Certainty - Possible Problem of Tax Policy in Developed Countries?]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(7), pages 833-846.

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    More about this item

    Keywords

    financial crisis; Basel III; European emerging stock markets; Lehman Brothers; price jumps; CDS;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • P59 - Political Economy and Comparative Economic Systems - - Comparative Economic Systems - - - Other

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