Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
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Working Paper
Abstract: Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.
Keywords:
asynchronicity;
cojumps;
high-frequency data;
microstructure noise;
realized covariance;
rearrangement;
JEL Classification:
C02;
C58;
G11;
G14;
https://doi.org/10.20955/wp.2024.006
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Bibliographic Information
Provider:
Federal Reserve Bank of St. Louis
Part of Series:
Working Papers
Publication Date: 2024-03-26
Number: 2024-006
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