Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/world-scientific-publishing-company/conditional-jump-dynamics-in-stock-returns-evidence-from-mist-stock-b0delRFlOf
References (22)
-
W. Chan, J. Maheu (2002)
Conditional Jump Dynamics in Stock Market ReturnsJournal of Business & Economic Statistics, 20
-
George Jiang, Ingrid Lo, Adrien Verdelhan
Treasury Market -
Bala Arshanapalli, F. Fabozzi, W. Nelson (2013)
The role of jump dynamics in the risk–return relationshipInternational Review of Financial Analysis, 29
-
J. Maheu, Thomas McCurdy (2003)
News Arrival, Jump Dynamics and Volatility Components for Individual Stock ReturnsCapital Markets: Market Microstructure eJournal
-
K. West, D. Cho (1994)
The Predictive Ability of Several Models of Exchange Rate Volatility -
Lie-Jane Kao, Po-Cheng Wu, Cheng-Few Lee (2012)
Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical studyInternational Review of Economics & Finance, 21
-
Pei-Shan Wu, Chien-Ming Huang, C. Chiu (2011)
Effects of structural changes on the risk characteristics of REIT returnsInternational Review of Economics & Finance, 20
-
Mardi Dungey, Lyudmyla Hvozdyk (2012)
Cojumping: Evidence from the US Treasury bond and futures marketsJournal of Banking and Finance, 36
-
W. Chan, Denise Young (2006)
Jumping hedges: An examination of movements in copper spot and futures marketsJournal of Futures Markets, 26
-
J. Maheu, Thomas McCurdy, Xiaofei Zhao (2013)
Do Jumps Contribute to the Dynamics of the Equity Premium?Econometric Modeling: Capital Markets - Asset Pricing eJournal
-
Hsiang-Tai Lee (2009)
Optimal futures hedging under jump switching dynamicsJournal of Empirical Finance, 16
-
Fulvio Corsi, Davide Pirino, R. Renò (2008)
Threshold Bipower Variation and the Impact of Jumps on Volatility ForecastingEconometrics: Applied Econometrics & Modeling eJournal
-
Yertai Tanai, Kuan-Pin Lin (2013)
Mongolian and World Equity Markets: Volatilities and CorrelationsEurasian Economic Review, 3
-
Yacine Ait-Sahalia, J. Jacod (2009)
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency DataAFA 2011 Denver Meetings (Archive)
-
Kevin Evans (2011)
Intraday jumps and US macroeconomic news announcementsFuel and Energy Abstracts
-
Suzanne Lee, P. Mykland (2008)
Jumps in Financial Markets: A New Nonparametric Test and Jump DynamicsReview of Financial Studies, 21
-
W. Chan (2008)
Dynamic Hedging with Foreign Currency Futures in the Presence of JumpsStudies in Nonlinear Dynamics & Econometrics, 12
-
T. Bollerslev (1986)
Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 31
-
Saint Kuttu (2017)
Time-varying conditional discrete jumps in emerging African equity marketsGlobal Finance Journal, 32
-
M. Gronwald (2011)
A Characterization of Oil Price Behavior - Evidence from Jump ModelsMacroeconomics: Prices
-
Vivek Bhattacharya (2012)
Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance -
Suzanne Lee, Jan Hannig (2009)
Detecting Jumps from Levy Jump Diffusion ProcessesInternational Finance
- Publisher
- World Scientific Publishing Company
- Copyright
- Copyright ©
- Subject
- Stock Market and Banking
- ISSN
- 0217-5908
- eISSN
- 1793-6837
- DOI
- 10.1142/S0217590815500058
- Publisher site
- See Article on Publisher Site
Abstract
This paper applies a conditional jump model that was proposed by Chan and Maheu (2002) to examine the stock market dynamics of Mexico, Indonesia, South Korea, and Turkey (MIST). We find that the conditional jump intensity parameter estimates are statistically significant and change dramatically between two sample periods. We show that a high probability of jumps today predicts a high probability of jumps in the next period. The impact of a previous shock to the next period's jump intensity is found to be higher in Turkey compared to other MIST countries. Contrary to the previous literature, we discover that after a stock market crash, it is more likely to see a negative jump (drop) again in the stock exchanges of Mexico and Indonesia. Only in Turkey, it is more likely to see a positive jump after market crashes.
Journal
The Singapore Economic Review – World Scientific Publishing Company
Published: Mar 1, 2015
Keywords: Stock return conditional jump ARJI-GARCH MIST countries