Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/146956 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
SAFE Working Paper No. 149
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Jumps
Return predictability
Systemic events
Variance Risk Premium
JEL: 
C58
G11
C14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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