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

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dc.contributor.authorGajurel, Dinesh
dc.contributor.authorChowdhury, Biplob
dc.date.accessioned2023-08-21T23:13:50Z
dc.date.issued2021
dc.date.updated2022-07-24T08:19:16Z
dc.description.abstractInclusion 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 bring a cancellation effect yielding average size of the jumps to zero. We show that the economic significance of jump component in volatility forecasting is significant but nominal. Our results further demonstrate that market jumps and overnight returns bring significant changes in systematic risk of stocks. From a cross-sectional perspective, while the average effect of market jumps on the beta is not significantly different from zero, the average effect of overnight returns is statistically significant. Overall, our results suggest that systematic risk induced by the market jumps could be hedged by combining value stocks and growth stocks in a portfolio whereas the systematic risk induced by overnight returns can not be hedged even with a well diversified portfolio.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0003-6846en_AU
dc.identifier.urihttp://hdl.handle.net/1885/296706
dc.language.isoen_AUen_AU
dc.publisherRoutledge, Taylor & Francis Groupen_AU
dc.rights© 2021 The authorsen_AU
dc.sourceApplied Economicsen_AU
dc.subjectFinancial marketsen_AU
dc.subjectstock price processen_AU
dc.subjectjumpsen_AU
dc.subjectvolatilityen_AU
dc.subjectsystematic risken_AU
dc.titleRealized Volatility, Jump and Beta: evidence from Canadian Stock Marketen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.issue55en_AU
local.bibliographicCitation.lastpage6397en_AU
local.bibliographicCitation.startpage6376en_AU
local.contributor.affiliationGajurel, Dinesh, College of Asia and the Pacific, ANUen_AU
local.contributor.affiliationChowdhury, Biplob, College of Asia and the Pacific, ANUen_AU
local.contributor.authoremailt1998@anu.edu.auen_AU
local.contributor.authoruidGajurel, Dinesh, t1998en_AU
local.contributor.authoruidChowdhury, Biplob, t1999en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor350200 - Banking, finance and investmenten_AU
local.identifier.ariespublicationa383154xPUB21223en_AU
local.identifier.citationvolume53en_AU
local.identifier.doi10.1080/00036846.2021.1940082en_AU
local.identifier.thomsonIDWOS:000678624700001
local.identifier.uidSubmittedBya383154en_AU
local.publisher.urlhttps://www.tandfonline.com/en_AU
local.type.statusPublished Versionen_AU

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