• Economics, Physics
  • Published 2008

Stock price jumps: news and volume play a minor role

@inproceedings{Joulin2008StockPJ,
  title={Stock price jumps: news and volume play a minor role},
  author={Armand Joulin and Augustin Lef{\`e}vre and Daniel B. Grunberg and Jean-Philippe Bouchaud},
  year={2008}
}
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, whereas news tend on average to be followed by lower volatility levels. The shape of the volatility… CONTINUE READING

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