Cross-Company Jump Spillover and the Role of News

130 Pages Posted: 14 Apr 2023

See all articles by Francesco Poli

Francesco Poli

University of Padua

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

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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

Suggested Citation

Poli, Francesco and Caporin, Massimiliano, Cross-Company Jump Spillover and the Role of News. Available at SSRN: https://ssrn.com/abstract=4418653 or http://dx.doi.org/10.2139/ssrn.4418653

Francesco Poli

University of Padua ( email )

Via 8 Febbraio
Padova, 2-35122
Italy

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

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