Cojumps in Stock Prices: Empirical Evidence

@inproceedings{Gilder2014CojumpsIS,
  title={Cojumps in Stock Prices: Empirical Evidence},
  author={Dudley Gilder and Mark B. Shackleton and Stephen James Taylor},
  year={2014}
}
We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association… CONTINUE READING

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