A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks
نویسندگان
چکیده
This paper examines continuous-time models for the S&P 100 index and its constituents. We find that jump process of typical stock looks significantly different than index. Most importantly, average size a in returns is positive, while it negative Furthermore, estimates parameters stochastic processes exhibit pronounced heterogeneity cross-section stocks. For example, we decreases larger companies. Finally, not necessarily accompanied by large number contemporaneous jumps constituent’s Indeed, days on which only one constituent also jumps. As consequence, show can be classified as induced either synchronous price movements individual stocks or macroeconomic events.
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2023
ISSN: ['0927-5398', '1879-1727']
DOI: https://doi.org/10.1016/j.jempfin.2022.11.007