Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146956
Authors: 
Caporin, Massimiliano
Kolokolov, Alexey
Renò, Roberto
Year of Publication: 
2016
Series/Report no.: 
SAFE Working Paper Series 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.
Subjects: 
Jumps
Return predictability
Systemic events
Variance Risk Premium
JEL: 
C58
G11
C14
Document Type: 
Working Paper

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