Journal of Banking & Finance Vol. 99 2019
Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices
Abstract
This paper proposes a new test for simultaneous intraday jumps (cojumps) in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, which we then use to form a test statistic that can detect cojumps. Simulations show that a bias corrected version of the test performs well when microstructure noise is present. Applied to a panel of high frequency Chinese equity data, our test identifies cojumps that coincide with announcements relating to monetary policy and stock market regulations.
- DOI
- 10.1016/j.jbankfin.2018.12.005
- Volume
- 99
- Pages
- 252-274
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib