Hop, Skip and Jump - What are Modern 'Jump' Tests Finding in Stock Returns?

39 Pages Posted: 27 Jul 2010

See all articles by Michael Schwert

Michael Schwert

University of Pennsylvania - The Wharton School

Date Written: November 9, 2009

Abstract

This paper applies several recently developed 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 number of jumps detected, as well as the timing of the jumps. Furthermore, although the different tests are formally designed to identify the same phenomenon, the number and timing of the jumps differ dramatically across the different tests when applied to the same data. These results suggest that the jump detection tests are identifying different types of jump behavior in data, and are not necessarily to be viewed as substitutes for one another.

Keywords: jump testing, coherence, intraday stock returns

JEL Classification: G12, G14, C22

Suggested Citation

Schwert, Michael, Hop, Skip and Jump - What are Modern 'Jump' Tests Finding in Stock Returns? (November 9, 2009). Available at SSRN: https://ssrn.com/abstract=1648986 or http://dx.doi.org/10.2139/ssrn.1648986

Michael Schwert (Contact Author)

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

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