EconPapers    
Economics at your fingertips  
 

Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices

Yin Liao and Heather Anderson

Journal of Banking & Finance, 2019, vol. 99, issue C, 252-274

Abstract: 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.

Keywords: Covariance; Cojumps; High-frequency data; First-high-low-last price; Realized covariance; Realized co-range (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426618302747
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices (2011) Downloads
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:eee:jbfina:v:99:y:2019:i:c:p:252-274

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-06
Handle: RePEc:eee:jbfina:v:99:y:2019:i:c:p:252-274