Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test

Liling Deng (), Haifang Xiong () and Zhiqiang Wang ()
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Liling Deng: Chongqing Three Gorges University
Haifang Xiong: Dongbei University of Finance and Economics
Zhiqiang Wang: Dongbei University of Finance and Economics

Electronic Commerce Research, 2023, vol. 23, issue 1, No 6, 115-135

Abstract: Abstract Volatility is an important feature of e-commerce activities, and overnight information has the greatest impact on the market volatility of e-commerce. The identification of contemporaneous jumps (cojumps) is crucial to studying the effect of overnight information on market volatility. This paper takes stock and futures e-commerce as the research object, based on the heterogeneous autoregression model of the Realized Volatility under high-frequency data, not only the characteristics of cojumps between the CSI 300 stock index and the future index are investigated, but also the effects of overnight factors on the future volatility. The results indicate that the Extended-Weighted Realized Volatility (EWRV) modifying both the intraday and overnight effects may be a better estimator of volatility. The joint BW test could be more efficient in the identification of cojumps with significant overnight characteristics. The effect of the overnight cojumps on the future volatility is significantly positive and greater than that of the intraday cojumps. In the Electronic Commerce stock index market, there is not enough evidence of the transmission from the overnight cojumps to the intraday volatility, which means the future index market may have no significant spillover to the stock index market.

Keywords: Cojump; Overnight factor; Joint BW test; Electronic commerce (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10660-022-09545-9

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