Systemic co-jumps

Arbeitspapier

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These systemic events and their implications can be easily overlooked by traditional univariate jump statistics applied to stock indices. They are instead revealed in a clearly cut way by using a novel test procedure applied to individual assets, which is particularly effective on high-volume stocks.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SAFE Working Paper ; No. 149

Classification and Topics

• Classification: Wirtschaft ; Financial Econometrics ; Portfolio Choice; Investment Decisions ; Semiparametric and Nonparametric Methods: General
• Subject: Jumps ; Return predictability ; Systemic events ; Variance Risk Premium

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caporin, Massimiliano ; Kolokolov, Alexey ; Renò, Roberto
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (where): Frankfurt a. M.
• (when): 2016

Further information

• DOI: doi:10.2139/ssrn.2851811
• Handle: http://hdl.handle.net/10419/146956
• URN: urn:nbn:de:hebis:30:3-417017
• Last update: 10.03.2025, 11:43 AM CET