December 2013
Intermediate to advanced
928 pages
28h 50m
English
book
Emerging Markets and the Global Economy
by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Content preview from Emerging Markets and the Global Economy
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Chapter 20
Price Jump Behavior During Financial Distress: Intuition, Analysis, and a Regulatory Perspective
Jan Novotnýa and Jan Hanousekb,c,d, aCentre for Econometric Analysis, Faculty of Finance, Cass Business School, City University London, London, UK, bCERGE-EI, Charles University and the Economics Institute of the Academy of Sciences of the Czech Republic Prague, Czech Republic, cThe William Davidson Institute, Michigan, USA, dCEPR, London, UK, E-mail: Jan.Novotny.1@city.ac.uk, Jan.Hanousek@cerge-ei.cz
Abstract
We analyze the impact of the Lehman Brothers collapse on volatility and price jumps using high-frequency data from the Prague Stock Exchange (PSE) and the New York Stock Exchange (NYSE). Data spans the period from January ...
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