Systemic Co-Jumps
Öffnen
Datum
2016-10-10
Autor
Caporin, Massimiliano
Kolokolov, Alexey
Renò, Roberto
SAFE No.
149
Metadata
Zur Langanzeige
Zusammenfassung
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These systemic events and their implications can be easily overlooked by traditional univariate jump statistics applied to stock indices. They are instead revealed in a clearly cut way by using a novel test procedure applied to individual assets, which is particularly effective on high-volume stocks.
Forschungsbereich
Financial Markets
Systemic Risk Lab
Systemic Risk Lab
Schlagworte
jumps, return predictability, systemic events, variance risk premium
JEL-Klassifizierung
C58, G11, C14
Forschungsdaten
Thema
Trading and Pricing
Consumption
Saving and Borrowing
Consumption
Saving and Borrowing
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]