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

Mujahid Hussain, Frédéric Délèze

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

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.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftMultinational Finance Journal
Volym18
Utgåva3/4
Sidor (från-till)169-213
ISSN1096-1879
StatusPublicerad - 2015
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi

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