Abstract

https://ssrn.com/abstract=2851811
 


 



Systemic Co-Jumps


Massimiliano Caporin


University of Padua - Department of Statistical Sciences

Alexey Kolokolov


Goethe University Frankfurt - Research Center SAFE

Roberto Renò


University of Verona - Department of Economics

October 10, 2016

SAFE Working Paper No. 149

Abstract:     
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.

Number of Pages in PDF File: 49

Keywords: Jumps, Return predictability, Systemic events, Variance Risk Premium

JEL Classification: C58, G11, C14


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Date posted: October 15, 2016  

Suggested Citation

Caporin, Massimiliano and Kolokolov, Alexey and Renò, Roberto, Systemic Co-Jumps (October 10, 2016). SAFE Working Paper No. 149. Available at SSRN: https://ssrn.com/abstract=2851811 or http://dx.doi.org/10.2139/ssrn.2851811

Contact Information

Massimiliano Caporin
University of Padua - Department of Statistical Sciences ( email )
Via Battisti, 241
Padova, 35121
Italy
Alexey Kolokolov (Contact Author)
Goethe University Frankfurt - Research Center SAFE ( email )
(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

Roberto Renò
University of Verona - Department of Economics ( email )
Via dell'Artigliere, 8
37129 Verona
Italy
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