Chen, K and Vitiello, L and Hyde, S and Poon, S (2018) The Reality of Stock Market Jumps Diversification. Journal of International Money and Finance, 86. pp. 171-188. DOI https://doi.org/10.1016/j.jimonfin.2018.04.008
Chen, K and Vitiello, L and Hyde, S and Poon, S (2018) The Reality of Stock Market Jumps Diversification. Journal of International Money and Finance, 86. pp. 171-188. DOI https://doi.org/10.1016/j.jimonfin.2018.04.008
Chen, K and Vitiello, L and Hyde, S and Poon, S (2018) The Reality of Stock Market Jumps Diversification. Journal of International Money and Finance, 86. pp. 171-188. DOI https://doi.org/10.1016/j.jimonfin.2018.04.008
Abstract
We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps for 35 stock markets, and study news associated with these jumps as reported in Factiva and Bloomberg from 1988 to 2014. Our results suggest that it is important to distinguish between systemic co-jumps and idiosyncratic jumps. We find both types of jumps have important implications for home-bias investors, while idiosyncratic jumps have economically significant impact on portfolios weights for emerging markets. Our news analysis suggests systemic jumps are typically caused by currency crises, sectoral failure, liquidity issues, and deteriorating economic climate, while idiosyncratic jumps are usually caused by political unrest, currency instability, and large firm effects on small economies. In fact, many of the idiosyncratic jumps share the same origin although different stock markets experienced the impact differently at different times.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | Asset allocation; International portfolio diversification; Home bias; Systemic and idiosyncratic jumps; Jump news |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 23 May 2018 08:16 |
Last Modified: | 16 May 2024 19:25 |
URI: | http://repository.essex.ac.uk/id/eprint/21910 |
Available files
Filename: 1-s2.0-S0261560618302390-main.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0