Cross-company jump spillover and the role of news

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 t...

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Bibliographic Details
Published inHeliyon Vol. 10; no. 14; p. e34440
Main Authors Poli, Francesco, Caporin, Massimiliano
Format Journal Article
LanguageEnglish
Published England Elsevier Ltd 30.07.2024
Elsevier
Subjects
Economic sectors
News data
Price jumps
Spillover jumps
Volatility persistence
Price jumps
C22
C55
News data
C24
Economic sectors
C58
G10
G14
Spillover jumps
Volatility persistence
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Summary: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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ISSN:2405-8440
2405-8440
DOI:10.1016/j.heliyon.2024.e34440