Risk, jumps, and diversification

Published

Journal Article

We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the cross-covariance structure in the returns to identify non-diversifiable jumps, we find strong evidence for many modest-sized, yet highly significant, cojumps that simply pass through standard jump detection statistics when applied on a stock-by-stock basis. Our results are further corroborated by a striking within-day pattern in the significant cojumps, with a sharp peak at the time of regularly scheduled macroeconomic news announcements. © 2008.

Full Text

Duke Authors

Cited Authors

  • Bollerslev, T; Law, TH; Tauchen, G

Published Date

  • May 1, 2008

Published In

Volume / Issue

  • 144 / 1

Start / End Page

  • 234 - 256

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2008.01.006

Citation Source

  • Scopus