Information arrival, jumps and cojumps in European financial markets: Evidence using tick by tick data

Frédéric Délèze, Mujahid Hussain

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review


This paper investigates jumps and cojumps in European financial markets employing more than six years of high frequency data on stock indices, currency and interest rate futures. Using a jump detection measure proposed by Lee and Mykland (2008), we find that while the U.S macroeconomic announcements cause significant jumps on all asset classes, European equity markets are found to be the more sensitive. Moreover, there is a strong correlation between the type of news and orientation of the jumps. We also report significant cojumps caused by the U.S macroeconomic surprises across European stock indices futures. Our time series analysis shows that the frequency and intensity of jumps in European financial markets have increased since the global credit crisis started in 2007. Accordingly, more frequent cojumps are reported across European equity markets after the recent financial slowdown.
Original languageEnglish
Title of host publicationEuropean Financial Management Association 2013 annual meeting
Publication date2013
Publication statusPublished - 2013
MoE publication typeA4 Article in conference proceedings
Event2013 Annual meetings of European Financial Management Association (EFMA): "MERTON H. MILLER" DOCTORAL SEMINAR - Reading, Reading, United Kingdom
Duration: 26.06.201329.06.2013
Conference number: 22


  • KOTA2013
  • Equis Base Room


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