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Cojumps in stock prices: empirical evidence

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Cojumps in stock prices: empirical evidence. / Gilder, Dudley; Shackleton, Mark; Taylor, S. J.
In: Journal of Banking and Finance, Vol. 40, 2014, p. 443-459.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Gilder, D, Shackleton, M & Taylor, SJ 2014, 'Cojumps in stock prices: empirical evidence', Journal of Banking and Finance, vol. 40, pp. 443-459. https://doi.org/10.1016/j.jbankfin.2013.04.025

APA

Gilder, D., Shackleton, M., & Taylor, S. J. (2014). Cojumps in stock prices: empirical evidence. Journal of Banking and Finance, 40, 443-459. https://doi.org/10.1016/j.jbankfin.2013.04.025

Vancouver

Gilder D, Shackleton M, Taylor SJ. Cojumps in stock prices: empirical evidence. Journal of Banking and Finance. 2014;40:443-459. Epub 2013 May 13. doi: 10.1016/j.jbankfin.2013.04.025

Author

Gilder, Dudley ; Shackleton, Mark ; Taylor, S. J. / Cojumps in stock prices : empirical evidence. In: Journal of Banking and Finance. 2014 ; Vol. 40. pp. 443-459.

Bibtex

@article{9b955e848cb74361b8dfc1e158a41720,
title = "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.",
keywords = "High-frequency stock prices, Non-parametric jump tests, Realised volatility, Macroeconomic news",
author = "Dudley Gilder and Mark Shackleton and Taylor, {S. J.}",
year = "2014",
doi = "10.1016/j.jbankfin.2013.04.025",
language = "English",
volume = "40",
pages = "443--459",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Cojumps in stock prices

T2 - empirical evidence

AU - Gilder, Dudley

AU - Shackleton, Mark

AU - Taylor, S. J.

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - High-frequency stock prices

KW - Non-parametric jump tests

KW - Realised volatility

KW - Macroeconomic news

U2 - 10.1016/j.jbankfin.2013.04.025

DO - 10.1016/j.jbankfin.2013.04.025

M3 - Journal article

VL - 40

SP - 443

EP - 459

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

ER -