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.

Systemic co-jumps

CAPORIN, MASSIMILIANO;Renò, Roberto
2017-01-01

Abstract

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.
2017
Jumps, Return predictability, Systemic events, Variance risk premium
File in questo prodotto:
File Dimensione Formato  
CaporinKolokolovReno2017_JFE.pdf

non disponibili

Tipologia: Versione dell'editore
Licenza: Accesso ristretto
Dimensione 1.95 MB
Formato Adobe PDF
1.95 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/973663
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 43
  • ???jsp.display-item.citation.isi??? 40
social impact