Realized volatility, jump and beta: evidence from Canadian stock market

Dinesh Gajurel and Biplob Chowdhury ()
Additional contact information
Dinesh Gajurel: University of New Brunswick, https://www.unb.ca/faculty-staff/directory/management/gajurel-dinesh.html
Biplob Chowdhury: Tasmanian School of Business & Economics, University of Tasmania, http://www.utas.edu.au/business-and-economics

No 2020-11, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: Inclusion of jump component in the price process has been a long debate in finance literature. In this paper, we identify and characterize jump risks in the Canadian stock market using high-frequency data from the Toronto Stock Exchange. Our results provide a strong evidence of jump clustering - about 90% of jumps occur within first 30 minutes of market opening for trade, and about 55% of jumps are due to the overnight returns. While average intraday jump is negative, jumps induced by overnight returns bring a cancellation effect yielding average size of the jumps to zero. We show that the economic significance of jump component in volatility forecasting is very nominal. Our results further demonstrate that market jumps and overnight returns bring significant changes in systematic risk (beta) of stocks. While the average effect of market jumps on beta is not significantly different than zero, the effect of overnight returns on beta is significant. Overall, our results suggest that jump risk is non-systematic in nature.

Keywords: financial markets; stock price process; jumps; volatility; systematic risk (search for similar items in EconPapers)
JEL-codes: C58 G12 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2020
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published by the University of Tasmania. Discussion paper 2020-11

Downloads: (external link)
https://eprints.utas.edu.au/35107/1/2020-011_Gajurel_Chowdhury.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://eprints.utas.edu.au/35107/1/2020-011_Gajurel_Chowdhury.pdf [302 Found]--> https://figshare.utas.edu.au/ndownloader/files/40973057 [302 Found]--> https://s3-ap-southeast-2.amazonaws.com/figshare-production-eu-utas-storage2718-ap-southeast-2/40973057/2020011_Gajurel_Chowdhury.pdf?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIARRFKZQ25CRVZALJA/20250228/ap-southeast-2/s3/aws4_request&X-Amz-Date=20250228T125251Z&X-Amz-Expires=10&X-Amz-SignedHeaders=host&X-Amz-Signature=ddba37e943efb7a48eee2e7e49a99fc9353b0b722ad69c7459c554b25f74c206)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:35107

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().