By Kyu Won Choi
This paper studies common intraday jumps and relative contribution of these common jumps
in realized correlation between individual stocks and market index, using high-frequency price
data. We find that the common jumps significantly contribute in realized correlation at different
threshold cut-offs and both common jumps and realized correlation are relatively consistent across
time period including financial crisis. We also find a weak, positive relationship between relative
contribution of common jumps and realized correlation, when we further sample high-frequency
data into a year. We also observe that the volatility index and market index reveal the strongest
relationship.
Advisor: Geourge Tauchen, Tim Bollerslev | JEL Codes: C40, C58, G10 | Tagged: Diffusive Covariation, Realized Correlation, Relative Contribution of Common Jumps