Internationally Correlated Jumps

Forthcoming, Review of Asset Pricing Studies

AFA 2011 Denver Meetings Paper

64 Pages Posted: 17 Mar 2010 Last revised: 2 Jan 2015

See all articles by Kuntara Pukthuanthong

Kuntara Pukthuanthong

University of Missouri, Columbia

Richard Roll

California Institute of Technology

Date Written: January 1, 2015


Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation typical of a Gaussian process. Jumps are prevalent in most countries but their cross-country co-movements has not been extensively documented. This is important because international diversification is less effective if jumps are frequent, unpredictable and strongly correlated. We investigate using returns on broad equity indexes from 82 countries and modern statistical measures of jumps. We find that jumps are weakly correlated internationally except within Europe. Although the variation in ordinary returns seems to reflect systematic global factors, jumps are more idiosyncratic.

Keywords: diversification, correlation, jumps, asset pricing

JEL Classification: G15, F2, F36

Suggested Citation

Pukthuanthong, Kuntara and Roll, Richard W., Internationally Correlated Jumps (January 1, 2015). Forthcoming, Review of Asset Pricing Studies, AFA 2011 Denver Meetings Paper, Available at SSRN: or

Kuntara Pukthuanthong

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)


Richard W. Roll (Contact Author)

California Institute of Technology ( email )

1200 East California Blvd
Mail Code: 228-77
Pasadena, CA 91125
United States
626-395-3890 (Phone)
310-836-3532 (Fax)

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