摘要：This research empirically identifies price jump phenomenon of heavily traded New Zealand shares focusing on the period of GFC2008. Specifically, this paper confirms the hypothesis that the price jump behaviour does not change during the recent financial turbulence. To achieve this goal, the study uses realized trades for 10 shares and one ETF (Exchange Trade Fund) from the Yahoo Finance & NZX50 database. Data selected were from January 2008 to the end of July 2009, as the GFC2008 is generally accepted to begin with the plunge of Lehman Brothers shares on September 9, 2008. The study adopts three models to examine the price jump phenomenon. The results reveal an increasing overall volatility during the crisis; however, the null hypothesis made cannot be rejected, which means there was no change for the behaviour of price jump in the data during the financial crisis. Overall, it implies that the uncertainty among NZ stock market has increased during the crisis but the structure of the uncertainty remains the same.
