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What factors are associated with stock price jumps in high frequency?

Yongkil Ahn and Shih-Chuan Tsai

Pacific-Basin Finance Journal, 2021, vol. 68, issue C

Abstract: We analyze the complete tick-level stock trading records at the Taiwan Stock Exchange and explore what factors are principally associated with stock price jumps in high frequency. Among the potential candidate variables suggested in the literature, liquidity proxies appear to be primarily associated with signed jumps in high frequency. The results from the least absolute shrinkage and selection operator (LASSO), the elastic net method, and principal component analysis further show that liquidity issues are more important than information or sentiment in understanding sudden and discontinuous price innovations to financial assets in high frequency.

Keywords: Signed jumps; Information asymmetry; Liquidity; Herding; Big data; Machine learning (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001098

DOI: 10.1016/j.pacfin.2021.101602

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Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

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