Jumps and Information Flow in Financial Markets
Speaker:
Suzanne Lee, Georgia Tech
Date and Time:
Friday, April 23, 2010 - 4:20pm to 4:40pm
Location:
Fields Institute, Room 230
Abstract:
I propose a new two-stage semi-parametric test to investigate the predictability of stochastic jump arrivals in asset prices. The test allows us to pin down relevant information for jump prediction up to the intra-day level. Based on the test, I find that systematic jumps in U.S. individual equity markets are likely to occur shortly after macroeconomic information release such as Fed's announcements, market jumps, employment reports, or initial jobless claims. I also present firm-specific jump predictors along with the jump clustering effect. Evidence suggests that systematic jump intensity has increased in recent years.