Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

This article introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump dyn...

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Veröffentlicht in:	The Review of financial studies 2008-11, Vol.21 (6), p.2535-2563
Hauptverfasser:	Lee, Suzanne S., Mykland, Per A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Capital market theory Econometrics Economic fluctuations Equity Estimators Financial engineering Financial markets Financial research Hedging Market prices Monte Carlo simulation Securities markets Significance level Statistical analysis Statistical theories Statistical variance Stochastic models Stock exchanges Stock indexing Stock market indices Stock prices Studies Volatility
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container_title	The Review of financial studies
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creator	Lee, Suzanne S. Mykland, Per A.
description	This article introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump dynamics and their distributions in the U.S. equity markets. The results show that individual stock jumps are associated with prescheduled earnings announcements and other company-specific news events. Additionally, S&P 500 Index jumps are associated with general market news announcements. This suggests different pricing models for individual equity options versus index option.
doi_str_mv	10.1093/rfs/hhm056
format	Article
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source	EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing; Oxford University Press Journals All Titles (1996-Current)
subjects	Asset pricing Capital market theory Econometrics Economic fluctuations Equity Estimators Financial engineering Financial markets Financial research Hedging Market prices Monte Carlo simulation Securities markets Significance level Statistical analysis Statistical theories Statistical variance Stochastic models Stock exchanges Stock indexing Stock market indices Stock prices Studies Volatility
title	Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
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