Hanousek, Jan; Kočenda, Evžen; Novotný, Jan - William Davidson Institute, University of Michigan - 2013
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...