Arbeitspapier
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
An extensive empirical literature documents a generally negative relation, named the leverage effect, between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high-frequency data. We propose new nonparametric methods to assess and test for a discontinuous leverage effect i.e. a covariation between contemporaneous jumps in prices and volatility. The methods are robust to market microstructure noise and build on a newly developed price-jump localization and estimation procedure. Our empirical investigation of six years of transaction data from 320 NASDAQ firms displays no unconditional negative covariation between price and volatility cojumps. We show, however, that there is a strong and significant discontinuous leverage effect if one conditions on the sign of price jumps and whether the price jumps are market-wide or idiosyncratic.
- Sprache
-
Englisch
- Erschienen in
-
Series: IRTG 1792 Discussion Paper ; No. 2018-055
- Klassifikation
-
Wirtschaft
Estimation: General
Financial Econometrics
- Thema
-
High-frequency data
market microstructure
news impact
market-wide jumps
price jump
volatility jump
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bibinger, Markus
Neely, Christopher
Winkelmann, Lars
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
- (wo)
-
Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bibinger, Markus
- Neely, Christopher
- Winkelmann, Lars
- Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Entstanden
- 2018
Ähnliche Objekte (12)
The leverage ratchet effect
The cyclicality of leverage
High-order Adaptive Discontinuous Galerkin Inundation Modeling
High order discontinuous Galerkin methods for the simulation of multiscale problems
LeverAge : A European network to leverage the multi-age workforce
High‐order non‐conforming discontinuous Galerkin methods for the acoustic conservation equations
On the irrelevance of the leverage effect
The leverage ratio is not the problem
The discontinuous learning journey : the Hero's Journey as a discontinuous learning metaphor
The leverage effect of bank disclosures
The leverage effect of bank disclosures
The effect of managerial myopia on the adjustment speed of the company's financial leverage towards the optimal leverage
The leverage ratchet effect
The cyclicality of leverage
High-order Adaptive Discontinuous Galerkin Inundation Modeling
High order discontinuous Galerkin methods for the simulation of multiscale problems
LeverAge : A European network to leverage the multi-age workforce
High‐order non‐conforming discontinuous Galerkin methods for the acoustic conservation equations
On the irrelevance of the leverage effect
The leverage ratio is not the problem
The discontinuous learning journey : the Hero's Journey as a discontinuous learning metaphor
The leverage effect of bank disclosures
The leverage effect of bank disclosures
The effect of managerial myopia on the adjustment speed of the company's financial leverage towards the optimal leverage
The leverage ratchet effect
The cyclicality of leverage
High-order Adaptive Discontinuous Galerkin Inundation Modeling
High order discontinuous Galerkin methods for the simulation of multiscale problems
LeverAge : A European network to leverage the multi-age workforce
High‐order non‐conforming discontinuous Galerkin methods for the acoustic conservation equations
On the irrelevance of the leverage effect
The leverage ratio is not the problem
The discontinuous learning journey : the Hero's Journey as a discontinuous learning metaphor
The leverage effect of bank disclosures
The leverage effect of bank disclosures