Relative Contribution of Common Jumps in Realized Correlation
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 […]
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 […]
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 […]
