This study develops a dynamic model of bidding behavior to investigate the Czech voucher privatization process, which took place in two waves of bidding rounds, the first in 1992 and the second in 1994. It examines the voucher mechanism from the standpoint of investors and the pricing and...

We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account for the...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...