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Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach

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  • J. Piplack
  • M. Beine
  • B. Candelon

Abstract

This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of the cases one common factor is enough to describe the largest part of the international variation in the continuous part of volatility and that this factor’s importance has increased over time. Furthermore, we find strong evidence for asymmetries between extremely negative and positive co-extreme close-open returns and of negative and positive co-jumps across countries.

Suggested Citation

  • J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  • Handle: RePEc:use:tkiwps:0910
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    File URL: https://dspace.library.uu.nl/bitstream/handle/1874/309547/09_10.pdf
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    References listed on IDEAS

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    Cited by:

    1. Frédéric Délèze & Syed Mujahid Hussain, 2014. "Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data," Multinational Finance Journal, Multinational Finance Journal, vol. 18(3-4), pages 169-213, September.

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    Keywords

    Volatility; realized volatility; high-frequency; comovements; cojumps;

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