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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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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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