TY - JOUR
T1 - Testing for cojumps in high-frequency financial data
T2 - an approach based on first-high-low-last prices
AU - Liao, Yin
AU - Anderson, Heather M.
PY - 2019/2/1
Y1 - 2019/2/1
N2 - This paper proposes a new test for simultaneous intraday jumps (cojumps) in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, which we then use to form a test statistic that can detect cojumps. Simulations show that a bias corrected version of the test performs well when microstructure noise is present. Applied to a panel of high frequency Chinese equity data, our test identifies cojumps that coincide with announcements relating to monetary policy and stock market regulations.
AB - This paper proposes a new test for simultaneous intraday jumps (cojumps) in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, which we then use to form a test statistic that can detect cojumps. Simulations show that a bias corrected version of the test performs well when microstructure noise is present. Applied to a panel of high frequency Chinese equity data, our test identifies cojumps that coincide with announcements relating to monetary policy and stock market regulations.
KW - Cojumps
KW - Covariance
KW - First-high-low-last price
KW - High-frequency data
KW - Realized co-range
KW - Realized covariance
UR - http://www.scopus.com/inward/record.url?scp=85059243634&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2018.12.005
DO - 10.1016/j.jbankfin.2018.12.005
M3 - Article
AN - SCOPUS:85059243634
SN - 0378-4266
VL - 99
SP - 252
EP - 274
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
ER -