Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ these estimates to provide a first-high-low-last price based test statistic to detect common large discrete movements (co-jumps). We study the finite sample behavior of our first-high-low-last price based test using Monte Carlo simulation, and find that it is more powerful than the Bollerslev et al (2008) return-based co-jump test. When applied to a panel of high frequency data from the Chinese mainland stock market, our first-high-low-last price based test identifies more common jumps than the return-based test in this emerging market.
|Date of creation:||18 Aug 2011|
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- Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(2), pages 367-408, Spring.
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