Cross-Company Jump Spillover and the Role of News
130 Pages Posted: 14 Apr 2023
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Cross-Company Jump Spillover and the Role of News
Abstract
We study how jumps spillover and the cross-company impact of firm-specific unscheduled news on jumps between stocks belonging to different economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors. We use conditional jump probabilities and logistic regressions and find that jump spillover is a pervasive phenomenon enhanced when jumps cluster and that firm-specific news, especially of the financial sector, boosts the jump spillover effect. Volatility following spillover jumps is significantly higher than usual, except when firm-specific news is released around the jump provoking the spillover.
Keywords: price jumps, spillover jumps, economic sectors, volatility persistence, newsdata
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