Examining “The Financial Crisis” with Jump Test and HAR-RV Models.

Slides:

Advertisements

Similar presentations

1 Do Option Prices Reveal Short-Sale Restrictions Impact on Banks Stock Prices? The German Case Stefano Corradin Marco Lo Duca Cristina Sommacampagna European.

Advertisements

Question 1 (textbook p.312, Q2)

Identifying and supervising Global Systemically Important Insurers Yoshihiro Kawai Secretary General International Association of Insurance Supervisors.

Update: World Financial Crisis and GDP projection 2009 Drs. A.G. Romero Presentation CBS, KvK, and BNA June 9, 2009.

Does Debt Policy Matter? Student Presentations Capital Structure Considerations Modigliani and Miller – Propositions 1 and 2 Financial Risk and Expected.

Market Update and Debt Portfolio Review Sacramento Transportation Authority April 9, 2009 Presented by: Public Financial Management Inc. 50 California.

MBA & MBA – Banking and Finance (Term-IV) Course : Security Analysis and Portfolio Management Unit I : Introduction to Security analysis Lesson No. 1.2-

Jumps in High Volatility Environments and Extreme Value Theory Abhinay Sawant March 4, 2009 Economics 201FS.

Chapter 6 Section 1 Introduction. Probability of an Event The probability of an event is a number that expresses the long run likelihood that an event.

The DIRECTV Group, Inc.- DTV JP MORGAN CHASE CO- JPM National Coal Corp.- NCOC Kaiwi Amina Period 7.

Time-Varying Beta Model: HAR-Beta Kunal Jain Economics 201FS Duke University April 21, 2010.

Jessica Schmidt. Presentation Outline Snapshot Snapshot Past Positions Past Positions Profile Profile History History Current News Current News Financial.

HAR-RV with Sector Variance Sharon Lee March 18, 2009.

Predictive Models of Realized Variance Incorporating Sector and Market Variance Haoming Wang April 16 th 2008.

By Hao Sun.  A continuation of some discussions from last time  Why JPM and BAC?  To see the realized covariance and systematic co- jumps during the.

Lecture 12 International Portfolio Theory and Diversification.

Market Indices. What is an index? Remember: A stock market index is simply a basket of stocks that are followed by investors. There are four main indices.

Bank Performance 20.

Cost of Equity Capital Calculation Methods Market determined standard Comparable earnings standard.

Variables and Relationships September Cause and Effect Relationships Independent and dependent variables are mathematical tools used in an experiment.

FIN724/824 The Stock Market Company Recommendation Marsel J. Tadger Kyle M. Ward-Dahl Ke Wang Adam J. Wilson 3/2/20101.

Intro to Financial Management Risk and Return. Review Homework What is “the time value of money?” How do you calculate and what do these ratios mean?

CHAPTER 5 RISK AND RETURN CHAPTER 5 RISK AND RETURN Zoubida SAMLAL - MBA, CFA Member, PHD candidate for HBS program.

Percentage of sales approach: COMPUTERFIELD CORPORATION Financial Statements Income statementBalance sheet Sales$12,000C AC A $5000Debt$8250 Costs9,800FA.

Chapter 13 Return, Risk, and the Security Market Line Copyright © 2012 by McGraw-Hill Education. All rights reserved.

Economics 434 Financial Markets Professor Burton University of Virginia Fall 2015 September 22, 2015.

Macroeconomic News Announcement Effects on Stocks Allison Keane.

FIN824 The Stock Market Financials Sector Kyle M. Ward-Dahl Marsel J. Tadger Ke Wang Adam J. Wilson 2/2/20101FIN824 The Stock Market.

$100 $200 $300 $400 $500 $100 $200 $300 $400 $500 $100 $200 $300 $400 $500 $100 $200 $300 $400 $500 $100 $200 $300 $400 $500 $100 $200 $300.

©2012 McGraw-Hill Ryerson Limited 1 of 31 Learning Objectives 1.Describe the concept of risk based on the uncertainty of future cash flows. (LO1) 2.Characterize.

Introduction to Risk and Return Common stocks 13.0% 9.2% 20.3% Small-company stocks Long-term corporate bonds Long-term government.

By Hao Sun. Data Financial and Food Stocks from S&P100 Index Include: BAC, BK, GS, JPM, MS, NYX, WFC, HNZ, KO, KFT, PEP Also used S&P100 Futures as the.

I. 3 stocks (1997 – 2010) Calculate: RV, BV (Continuous Variation), J Apply models to entire sample – Corsi (2009): HAR-RV – Andersen, Bollerslev and Diebold.

Agenda for 29 July (Chapter 13)

Prime Numbers and Factoring. Which expression is equal to 4x6? (a) 2 × 2 x 2 (b) 2 × 3 × 4 (c) 4 × 5 × 3 (d) 6 × 6.

EXPECTED RETURN PORTFOLIO Pertemuan 8 Matakuliah: F Analisis Kuantitatif Tahun: 2009.

Measuring the Ex Ante Beta

High Volatile Markets HAR-RV and Macroeconomic News.

13-0 Return, Risk, and the Security Market Line Chapter 13 Copyright © 2013 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin.

Beta By Hao Sun. JPM: Realized Beta JPM: Bi-Power Beta.

High Volatile Markets HAR-RV Fed Funds Rate. Motivation Examine HAR-RV model differ in the financial sector data from 1997 compared to post July 2007.

Restricted The Relationship Between Bank Lending Rates, Policy Rates and Bank Funding Costs After the Global Financial Crisis by Anamaria Illes, Marco.

Time-Varying Beta: Heterogeneous Autoregressive Beta Model Kunal Jain Spring 2010 Economics 201FS May 5, 2010.

Introduction to the Markets By Mr. Brown. Content What is a market? What is bullish versus bearish? What are stocks and mutual funds? Why does the market.

Spring 2016 Mr Scott Johnson Brookhaven College. GROUP MEMBERS Christelle Tchezou Oria Patrick Attey Neri Dossou.

1 1 A UTHORS Assoc. Prof. Dr. LUÇI Edlira PhD candidate LLESHAJ Llesh P ORTFOLIO D IVERSIFICATION P OTENCIAL ON C APITAL R ETURNS OF A LBANIAN B ANKS,

Yung-Ming Shiu National Chengchi University July 2014

Market-Risk Measurement

5 Analysis of Risk and Return.

Extra Questions.

Capital one Quicken Error

Financial Services Sector

ANDREW CARUSO, NICOLE LANGE. TOM TRESHOCK, RYAN TOM QF 102 SECTION B

The Stock Market By: Krista D.

Examining “The Financial Crisis” with Jump Test and HAR-RV Models

STOCK PURCHASE RECOMMENDATION

Formulating a Research Topic

Engaging Boards on Executive Compensation, Director Compensation, Say-on-Pay Sanjai Bhagat Provost Professor of Finance, University of.

Presentation 4 Mingwei Lei Econ 201.

The Intra-Industry Information Transfers: Contagion in REIT Privatization Transactions July 6 ERES 2013, Vienna Vivek Sah University of San Diego.

JNJ & JMP Presentation By Hao Sun.

11: Money Market Instruments

Methods of Gut Content Analysis

Pay Equity – Workforce Information

Presentation 2 Siyu Zheng.

Chapter 12 – Section 2 The stock market crash..

How a Financial Crisis Affects Data Mining Results: A Case Study

Audley Financial Training

Financial Markets – Fall, 2019 – Sept 17, 2019

3.1 Business Transactions

Presentation transcript:

Examining “The Financial Crisis” with Jump Test and HAR-RV Models

Motivation Examine how jumps and HAR-RV model differ in the financial sector data from 1997 to July 2007 compared to post July 2007 and post September

Financial Sector Data JPM (JP Morgan) BK (new) (Bank of New York Mellon) BAC (Bank of America) AXP (American Express) ALL (Allstate) Others Not Included Because of Data Differences

Financial Sector Data Equally Weighted Modify data so that stock splits do not affect the RV Portfolio1: 4/10/1997 through 1/7/2009 (1 share of each stock) Portfolio2: 4/10/1997 through 1/7/2009 (equally weighted)

None Weighted Portfolio

Equally Weighted Portfolio

Jump Test Compare # of Jump Days as Percentage of Days In All Periods Using Barndorff-Nielsen and Shepard – Examine for Particular Equities and Financial Porfolio

Jumps Post July Non Weighted

Jumps Post July Weighted

Jumps: After Sept 15 Non weighted

Jumps: Sept 15 Weighted

Results

HAR-RV

RVJ5

RVJ22

HAR-RV Coefficients Beta e-.05;.17183;.83412; SE e-05; ; , t= ,7.7042;10.544; pval= ,1.7986e-14;0;1.7897e-13 Full Data Set

Conclusion Jumps have occurred in same probability in “Financial Crisis” as in Rest of Data HAR-RV model is able to accurately model during “Financial Crisis” RV is high during “Financial Crisis” but jumps are not occurring at abnormal rate as stated by many in media