Autor: |
Francesco Poli, Massimiliano Caporin |
Jazyk: |
angličtina |
Rok vydání: |
2024 |
Předmět: |
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Zdroj: |
Heliyon, Vol 10, Iss 14, Pp e34440- (2024) |
Druh dokumentu: |
article |
ISSN: |
2405-8440 |
DOI: |
10.1016/j.heliyon.2024.e34440 |
Popis: |
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. |
Databáze: |
Directory of Open Access Journals |
Externí odkaz: |
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