by Tzuo Hann Law
Abstract
We test for the presence of jumps and measure the price variance of 40 major stocks
and the index they form using intra-day returns. Subsequently, we find that jumps
can be classified into two groups: systematic and idiosyncratic. Idiosyncratic jumps
are firm specific and are usually larger than systematic jumps which affect stocks
collectively. Systematic jumps are virtually non-detectable when jump test statistics
are applied to individual stocks. The elusiveness of systematic jumps is a consequence
of their moderate size and the higher price variance of individual stocks. We also
uncover encouraging evidence for a new jump detection scheme.
Professor Tim Bollerslev, Faculty Advisor
Professor George Tauchen, Faculty Advisor
No JEL Codes on file at this time
