Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245203 
Year of Publication: 
2019
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2019 [Pages:] 1-17
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002 to September 2016, we hypothesize that stocks with high positive (negative) slopes are more likely to have large positive (negative) jumps in the future. As such, we expect to observe salient properties of volatility on listed stocks. We also conjecture that it is valid to use maximum likelihood procedures in estimating jumps in stocks.
Subjects: 
Merton jump diffusion model
Black scholes volatility (IV) curves
Weiner process
maximum likelihood estimation
JEL: 
C12
C18
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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