What Makes the Market Jump?
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group
Research Seminars in Finance
Topic: What Makes the Market Jump?
Abstract: Using intraday transaction prices and a non-parametric jump test, we show that jumps in the S&P 500 and VIX are low-probability, high-impact events. Extant research investigating the causes of jumps primarily focuses on scheduled macro-announcements. However, we find that unscheduled news, which has so far received little attention, triggers twice as many jumps and accounts for a larger proportion of the jump variation than scheduled news. Intriguingly, we show that close to 50 % of jumps are not explained by fundamental news, revealing the presence of “excess jumps” in financial markets.
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 9th October.
Date: Wednesday, 11th October 2017
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
Building 8
Dr Chau Chak Wing Building
Dr Chau Chak Wing Building
14 - 28 Ultimo Road, Ultimo
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)
