Cojumps in stock prices:empirical evidence

Abstract

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association between jumps in the market portfolio and cojumps in the underlying stocks. Consistent with our Monte Carlo evidence, moderate numbers of stocks are often detected to be involved in these (systematic) cojumps. Importantly, the results suggest that market-level news is able to generate simultaneous large jumps in individual stocks. We also find evidence of an association between systematic cojumps and Federal Funds Target Rate announcements.

Publication DOI: https://doi.org/10.1016/j.jbankfin.2013.04.025
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > Aston Business School
College of Business and Social Sciences > Aston Business School > Accounting
Additional Information: © 2013, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: high-frequency stock prices,non-parametric jump tests,realised volatility,macroeconomic news
Publication ISSN: 1872-6372
Last Modified: 15 Mar 2024 08:10
Date Deposited: 20 Aug 2014 13:55
Full Text Link:
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
https://www.sci ... 2082?via%3Dihub (Publisher URL)
PURE Output Type: Article
Published Date: 2014-03-01
Published Online Date: 2013-05-13
Authors: Gilder, Dudley
Shackleton, Mark B.
Taylor, Stephen J.

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