Essays on the Effective Market Dynamics

Essays on the Effective Market Dynamics Jan Novotný Abstract In the first chapter, I employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. I use the price jump index and norma...

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Main Author: Novotný, Jan
Other Authors: Hanousek, Jan
Format: Doctoral Thesis
Language:English
Published: 2012
Online Access:http://www.nusl.cz/ntk/nusl-309601
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spelling ndltd-nusl.cz-oai-invenio.nusl.cz-3096012018-11-16T04:17:26Z Essays on the Effective Market Dynamics Essays on the Effective Market Dynamics Novotný, Jan Hanousek, Jan Kmenta, Jan Fidrmuc, Jarko Essays on the Effective Market Dynamics Jan Novotný Abstract In the first chapter, I employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. I use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with market micro-structure. I also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps. In the second paper, I empirically analyze the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the collapse of Lehman Brothers 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. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. The results confirm an increase in overall... 2012 info:eu-repo/semantics/doctoralThesis http://www.nusl.cz/ntk/nusl-309601 eng info:eu-repo/semantics/restrictedAccess
collection NDLTD
language English
format Doctoral Thesis
sources NDLTD
description Essays on the Effective Market Dynamics Jan Novotný Abstract In the first chapter, I employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. I use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with market micro-structure. I also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps. In the second paper, I empirically analyze the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the collapse of Lehman Brothers 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. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. The results confirm an increase in overall...
author2 Hanousek, Jan
author_facet Hanousek, Jan
Novotný, Jan
author Novotný, Jan
spellingShingle Novotný, Jan
Essays on the Effective Market Dynamics
author_sort Novotný, Jan
title Essays on the Effective Market Dynamics
title_short Essays on the Effective Market Dynamics
title_full Essays on the Effective Market Dynamics
title_fullStr Essays on the Effective Market Dynamics
title_full_unstemmed Essays on the Effective Market Dynamics
title_sort essays on the effective market dynamics
publishDate 2012
url http://www.nusl.cz/ntk/nusl-309601
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