Cojumps in stock prices: empirical evidence

Gilder, Dudley ORCID: https://orcid.org/0000-0001-7039-762X, Shackleton, Mark B. and Taylor, Stephen J. 2014. Cojumps in stock prices: empirical evidence. Journal of Banking and Finance 40 , pp. 443-459. 10.1016/j.jbankfin.2013.04.025

Full text not available from this repository.

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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Elsevier
ISSN:	0378-4266
Date of Acceptance:	13 April 2013
Last Modified:	07 Nov 2022 09:43
URI:	https://orca.cardiff.ac.uk/id/eprint/130054

Citation Data

Cited 41 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item