Jumps and Information Flow in Financial Markets

Suzanne S. Lee
2009 Social Science Research Network  
I propose a new two-stage semi-parametric test to investigate the predictability of stochastic jump arrivals in asset prices. The test allows us to pin down relevant information for jump prediction up to the intraday level. Based on the test, I find that systematic jumps in U.S. individual equity markets are likely to occur shortly after macroeconomic information release such as Fed's announcements, market jumps, employment reports, or initial jobless claims. I also present firm-specific jump
more » ... edictors of earnings release, analyst recommendation, and dividend dates along with the jump clustering effect. Evidence suggests systematic jump intensity has increased in recent years. JEL classification: G10, C14
doi:10.2139/ssrn.1571755 fatcat:jkvwiq6vmnetzlqtmjp37gycxu