Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

Nabil Bouamara, Kris Boudt, Sebastien Laurent and Christopher Neely

No 2024-006, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.

Keywords: asynchronicity; cojumps; high-frequency data; microstructure noise; realized covariance; rearrangement (search for similar items in EconPapers)
JEL-codes: C02 C58 G11 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2024-03-26
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Working Paper: Sluggish news reactions: A combinatorial approach for synchronizing stock jumps (2023)
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DOI: 10.20955/wp.2024.006

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