The dynamics of price jumps in the stock market: an empirical study on Europe and U.S.

Ferriani, Fabrizio; Zoi, Patrick

doi:10.1080/1351847x.2020.1740288

Cited by 13 publications

(4 citation statements)

References 63 publications

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“…However, sometimes there exist abnormal movements or large discontinuous changes in stock prices that are infrequent but large. These extreme movements are known as jumps associated with the arrival of unexpected new information (Ferriani and Zoi 2020;Jiang and Zhu 2017;Sun and Gao 2020). Jumps capture all types of information, regardless of whether it is public or private information, including insider trading.…”

Section: Discussionmentioning

confidence: 99%

“…There are, however, abnormal movements or large discontinuous changes in empirical stock analysis that are infrequent but large; these extreme movements are known as jumps and associated with the arrival of unexpected new information. (Ferriani and Zoi 2020;Jiang and Zhu 2017;Sun and Gao 2020). Jiang and Zhu (2017) define stock price jumps as a proxy of large information shocks, and large discontinued changes in stock prices called jumps or stock price jumps.…”

Section: Theorymentioning

confidence: 99%

“…As per the efficient market hypothesis (EMH), the stock market responds to the arrival of new information, leading to changes in returns and volatility of the stock market prices (Duangin et al 2018). However, sometimes there are abnormal movements or large discontinuous changes in stock prices, which are infrequent but large; these extreme movements are known as jumps, associated with the arrival of unexpected new information (Ferriani and Zoi 2020;Jiang and Zhu 2017;Sun and Gao 2020). Accordingly to Bajgrowicz et al (2016), jumps are related to macroeconomic news, prescheduled company-specific announcements, and news reports that included a variety of unscheduled and uncategorized events.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets

2021

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In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to February 2020. We find that jumps arise in all equity markets; however, emerging markets have more jumps relative to developed markets, and positive jumps are more frequent than negative jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly volatile markets earn higher returns during jump periods in developed markets. Furthermore, markets with low continuous returns and high volatility are more adversely affected during periods of negative jumps. The average ratio of jump variations to total variation shows considerable variations due to jumps. Integrated volatility is high during periods of negative jumps, and this pattern is consistent in both developed and emerging markets. Moreover, the peak volatility of stock markets is observed during periods of crises. The implication of this study is useful in the asset pricing model, risk management, and for individual investors and portfolio managers for both developed and emerging markets.

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Section: Discussionmentioning

confidence: 99%

Section: Theorymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets

2021

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“…It is this gap in the literature that the following papers contribute. Ferriani and Zoi (2020) examine, inter alia, whether jumps transfer between US and German stock markets, and thus whether contagiontype behaviour presents itself as abrupt price adjustments. Buccioli and Kokholm (2021) take the 'flight-to-safety' behaviour as their central hypothesis and consider whether gold and stock markets are causally related in terms of their contribution to each other's jump propensity.…”

Section: Articles In This Special Issuementioning

confidence: 99%