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Register a new userThe Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach
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This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which has several advantages over the existing methods, by using data for i) the S&P 500 index ETF, SPY, with macroeconomic announcements and ii) Nasdaq Nordic Large-Cap stocks with scheduled and non-scheduled company announcements. We provide strong evidence that non-scheduled company announcements and some macroeconomic announcements contribute jumps that follow the releases and also some evidence for pre-jumps that precede the scheduled arrivals of public information, which may indicate non-gradual information leakage. Especially interim reports of Nordic large-cap companies are found containing important information to yield jumps in stock prices. Additionally, our results show that releases of unexpected information are not reacted to uniformly across Nasdaq Nordic markets, even if they are jointly operated and are based on the same exchange rules.
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By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock Exchange Composite Index (SZCI). The characteristics of the corresponding multifractal spectra are defined as a measurement of market volatility. It is found that there is a statistically significant relationship between the stock index returns and the spectral characteristics, which can be applied to forecast the future market return. The in-sample and out-of-sample tests on the return predictability of multifractal characteristics indicate the spectral width $Delta {alpha}$ is a significant and positive excess return predictor. Our results shed new lights on the application of multifractal nature in asset pricing.
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