Systemic co-jumps

• 成果类型: Article
• 署名作者: Caporin, Massimiliano; Kolokolov, Aleksey; Reno, Roberto
• 署名单位: University of Padua; Goethe University Frankfurt; University of Verona
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.016
• 发表日期: 2017
• 页码: 563-591
• 关键词: Jumps; Return predictability; Systemic events; Variance risk premium

摘要

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. (C) 2017 Elsevier B.V. All rights reserved.