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Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test

Author

Listed:
  • Liling Deng

    (Chongqing Three Gorges University)

  • Haifang Xiong

    (Dongbei University of Finance and Economics)

  • Zhiqiang Wang

    (Dongbei University of Finance and Economics)

Abstract

Volatility is an important feature of e-commerce activities, and overnight information has the greatest impact on the market volatility of e-commerce. The identification of contemporaneous jumps (cojumps) is crucial to studying the effect of overnight information on market volatility. This paper takes stock and futures e-commerce as the research object, based on the heterogeneous autoregression model of the Realized Volatility under high-frequency data, not only the characteristics of cojumps between the CSI 300 stock index and the future index are investigated, but also the effects of overnight factors on the future volatility. The results indicate that the Extended-Weighted Realized Volatility (EWRV) modifying both the intraday and overnight effects may be a better estimator of volatility. The joint BW test could be more efficient in the identification of cojumps with significant overnight characteristics. The effect of the overnight cojumps on the future volatility is significantly positive and greater than that of the intraday cojumps. In the Electronic Commerce stock index market, there is not enough evidence of the transmission from the overnight cojumps to the intraday volatility, which means the future index market may have no significant spillover to the stock index market.

Suggested Citation

  • Liling Deng & Haifang Xiong & Zhiqiang Wang, 2023. "Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test," Electronic Commerce Research, Springer, vol. 23(1), pages 115-135, March.
    • Handle: RePEc:spr:elcore:v:23:y:2023:i:1:d:10.1007_s10660-022-09545-9
    DOI: 10.1007/s10660-022-09545-9
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    References listed on IDEAS

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