IDEAS home Printed from https://ideas.repec.org/a/cai/finpug/fina_321_0011.html
   My bibliography  Save this article

Are Jumps Contagious? An Empirical Investigation of Jumps Transmission Mechanisms in the Nasdaq Sector Indexes

Author

Listed:
  • Thierry Ané
  • Carole Métais

Abstract

This article relies on the comparison of the realized variance and the realized bipower variation to provide a nonparametric extraction of jumps in Nasdaq sector indexes. It proceeds with their empirical analysis along two directions: intensity and size. Whereas the jump intensity appears to be sector-specific, the average jump contribution to the total variance is approximately constant across sectors. Moreover, unlike volatility, jumps do not cluster through time. A multivariate analysis reveals that jump arrivals are significantly linked even though the contemporaneous occurrence of discontinuities does not increase the average jump size. Finally, despite their interdependence, jumps do not seem to be very contagious and few spillover effects can be observed.

Suggested Citation

  • Thierry Ané & Carole Métais, 2011. "Are Jumps Contagious? An Empirical Investigation of Jumps Transmission Mechanisms in the Nasdaq Sector Indexes," Finance, Presses universitaires de Grenoble, vol. 32(1), pages 11-41.
    • Handle: RePEc:cai:finpug:fina_321_0011
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_321_0011
    Download Restriction: free
    File URL: http://www.cairn.info/revue-finance-2011-1-page-11.htm
    Download Restriction: free
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:finpug:fina_321_0011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-finance.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.