Cross-company jump spillover and the role of news

被引：0
|
作者：
Poli, Francesco [1 ]
Caporin, Massimiliano [1 ]
机构：
[1] Univ Padua, Dept Stat Sci, Via C Battisti 241, Padua, Italy
来源：
HELIYON | 2024年 / 10卷 / 14期
关键词：
Price jumps; Spillover jumps; Economic sectors; Volatility persistence; News data; SYSTEMIC RISK; MACROECONOMIC NEWS; FINANCIAL-MARKETS; CAPITAL SHORTFALL; VOLATILITY; US; CONTAGION; CONNECTEDNESS; DYNAMICS; EUROZONE;
D O I：
10.1016/j.heliyon.2024.e34440
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
We study how jumps spillover and the cross-company impact of firm-specific unscheduled news on jumps between economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors. Using conditional jump probabilities, we find that jump spillover is a pervasive phenomenon enhanced when jumps cluster and that firm-specific news, especially from the financial sector, boosts the jump spillover effect. Volatility following spillover jumps is significantly higher than usual, except when firm-specific news is released around the jump provoking the spillover.
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页数：15
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