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- W2024296870 abstract "We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association between jumps in the market portfolio and cojumps in the underlying stocks. Consistent with our Monte Carlo evidence, moderate numbers of stocks are often detected to be involved in these (systematic) cojumps. Importantly, the results suggest that market-level news is able to generate simultaneous large jumps in individual stocks. We also find evidence of an association between systematic cojumps and Federal Funds Target Rate announcements." @default.
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- W2024296870 date "2012-01-01" @default.
- W2024296870 modified "2023-09-29" @default.
- W2024296870 title "Cojumps in Stock Prices: Empirical Evidence" @default.
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- W2024296870 doi "https://doi.org/10.2139/ssrn.2028443" @default.
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