Spurious Jump Detection and Intraday Changes in Volatility
By Matthew Rognile We investigate the properties of several non-parametric tests for jumps in financial markets. We derive a theoretical property of these tests not observed in any of the previous literature: when they are applied to finitely sampled data, they are generally biased toward finding too many jumps. This results from bias in finite-sample […]
Assessing the Effects of Earnings Surprise on Returns and Volatility with High Frequency Data
By Sam Lim This paper aims to explore how “earnings surprise”—the difference between earnings estimates and the actual announced earnings—affects a stock’s volatility and returns using high frequency data. The results show that earnings surprise is significantly correlated with volatility and overnight returns. Furthermore, an earnings surprise is significantly correlated with an increase in volatility […]
An Investigation into the Interdependency of the Volatility of Technology Stocks
By Zoraver Lamba This paper examines the contemporaneous and dynamic relationships between the volatilities of the technology stocks in the S&P 100 index. Factor analysis and heterogeneous autoregressive regressions are used to examine contemporaneous and dynamic, inter-temporal relationships, respectively. Both techniques utilize high frequency data by measuring stock prices every 5 minutes from 1997-2008. We […]
Testing the Relationship between Oil Equities and Oil Futures with High-Frequency Data: A Look at Returns, Jumps, and Volatility
By Brian Jansen This paper looks at simultaneous returns, jumps, and volatilities of oil futures, oil equities, and other equities in the S&P 100 using high-frequency data. Through this method, a market factor is found to affect the overall level of returns across the equities and the likelihood that two given equities to jump simultaneously. […]
Hop, Skip and Jump – What Are Modern “Jump” Tests Finding in Stock Returns?
by Michael Schwert Abstract This paper applies several jump detection tests to intraday stock price data sampled at various frequencies. It finds that the choice of sampling frequency has an effect on both the amount of jumps detected by these tests, as well as the timing of those jumps. Furthermore, although these tests are designed […]
The Impact of Sector and Market Variance on Individual Equity Variance
by Haoming Wang Abstract This paper investigates how changes in measures of sector and market variance affect equity variance by examining forecasts of equity variance over 1, 5, and 22 day time horizons. These forecasts were generated using heterogeneous autoregressive regressions that included measures of sector and market variance. The results demonstrate that sector and […]
Analyzing and Applying Existing and New Jump Detection Methods for Intraday Stock Data
By William Warren Davis Abstract This paper attempts to explore two recent statistics used to identify jumps in stock prices, as well as to propose a modification to one of the statistics to increase its accuracy by adding a second stage with a different estimator of local volatility. After identifying potential jump days, a study […]
Patterns Within the Trading Day: Volatility and Jump Discontinuities in High Frequency Equity Price Series
by Peer Van Tassel Abstract This paper identities systematic patterns within the trading day by analyzing high frequency data from a market index and nine individual stocks. Empirical results expand on the previously documented U-shape in intraday equity volatility by implementing non-parametric statistics to test for patterns in the jump and diffusive components of volatility. […]
The Informational Content of Implied Volatility in Individual Stocks and the Market
by Andrey Fradkin Abstract We examine the informational content of historical and implied measures of variance through an evaluation of forecasts over horizons ranging from 1 to 22 days. These forecasts use heterogeneous autoregressive (HAR) regressions which are constructed with high-frequency data. Our results show that the t and forecasting ability of models based on […]
The Elusiveness of Systematic Jumps
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 […]
