Price jumps in Visegrad-country stock markets: An empirical analysis

Article history: Received 21 May 2010 Received in revised form 24 January 2012 Accepted 28 January 2012 Available online 10 February 2012 We 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. We 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 different market regulation and microstructure. We 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. © 2012 Elsevier B.V. All rights reserved. JEL classification: G15 P59