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Risk, jumps, and diversification
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DOI：10.1016/j.jeconom.2008.01.006.png)
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We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the cross-covariance structure in the returns to identify non-diversifiable jumps, we find strong evidence for many modest-sized, yet highly significant, cojumps that simply pass through standard jump detection statistics when applied on a stock-by-stock basis. Our results are further corroborated by a striking within-day pattern in the significant cojumps, with a sharp peak at the time of regularly scheduled macroeconomic news announcements. (C) 2008 Published by Elsevier B.V.
Keyword:
jump-diffusions
stock returns
diversification
tests for jumps
cojumps
high-frequency data
bipower variation
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