Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices
Yin Liao and
Journal of Banking & Finance, 2019, vol. 99, issue C, 252-274
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)
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Working Paper: Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:99:y:2019:i:c:p:252-274
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