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Realized Volatility, Jump and Beta: evidence from Canadian Stock Market

Gajurel, Dinesh; Chowdhury, Biplob


Inclusion of jump component in the price process has been a long debate in finance literature. In this paper, we identify and characterize jump risks in the Canadian stock market using high-frequency data from the Toronto Stock Exchange. Our results provide a strong evidence of jump clustering - about 30% of jumps occur within first 30 minutes of trading hours, and about 25% of jumps are due to the overnight returns. While average intraday jump is negative, jumps induced by overnight returns...[Show more]

CollectionsANU Research Publications
Date published: 2021
Type: Journal article
Source: Applied Economics
DOI: 10.1080/00036846.2021.1940082


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