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Shluková analýza skoků na kapitálových trzích
[Cluster Analysis of Jumps on Capital Markets]

Author

Listed:
  • Jan Hanousek
  • Evžen Kočenda
  • Jan Novotný

Abstract

Cluster Analysis of Jumps on Capital Markets We analyze the behavior and performance of multiple price jump indicators across capital markets and over time. By using high-frequency we perform cluster analysis of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II errors. We show that clusters of price jump indicators do not exhibit equal size. Clusters are stable across stock market indices and time. Detected numbers of price jumps are also stable over time. The recent financial crisis does not seem to affect the overall jumpiness of mature or emerging stock markets. Our results support the stress testing approach of the Basel III. Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress testing.

Suggested Citation

  • 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.
    • Handle: RePEc:prg:jnlpol:v:2016:y:2016:i:2:id:1059:p:127-144
    DOI: 10.18267/j.polek.1059
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    More about this item

    Keywords

    price jumps measures; nonparametric testing; financial econometrics; cluster analysis; Basel agreements;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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