Kunal Jain February 17, 2010 Economics 201FS

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Presentation transcript:

Kunal Jain February 17, 2010 Economics 201FS Initial Data Analysis Kunal Jain February 17, 2010 Economics 201FS

Raw Data Amazon (AMZN): Microsoft Corporation (MSFT): August 1, 1997 – January 7, 2009 2,846 Days Microsoft Corporation (MSFT): April 16, 1997 – January 7, 2009 2,921 Days 2:1 Share splits February 23, 1998, March 29, 1999, Feb 18, 2003, Johnson & Johnson (JNJ): April 9, 1997 – January 7, 2009 2,923 Days Price data available every minute from 9:35 AM to 3:59 PM for each trading day

AMZN- Log Returns 10-minute returns excluding overnight returns

AMZN- Realized Variation

AMZN- Bi-Power Variation

AMZN- Jump Detection (Ratio Adjusted)

AMZN- Jump Detection (Ratio Adjusted)

Results- AMZN Tri-power Ratio Adjusted Number of days with jumps 523 .95 significance .99 significance .999 significance Number of days with jumps 523 258 83 Percentage 18.38% 9.07% 2.92% Quad-power 553 286 104 19.43% 10.05% 3.65%

MSFT- RV & BV

MSFT- Jump Detection (Ratio Adjusted) 10-minute returns excluding overnight returns

MSFT- Jump Detection (Ratio Adjusted) 10-minute returns excluding overnight returns

Results- MSFT Tri-power Ratio Adjusted Number of days with jumps 436 .95 significance .99 significance .999 significance Number of days with jumps 436 193 56 Percentage 14.92% 6.60% 1.92% Quad-power 449 203 66 15.36% 6.94% 2.26%

JNJ- RV & BV

JNJ- Jump Detection (Ratio Adjusted)

JNJ- Jump Detection (Ratio Adjusted)

Results- JNJ Tri-power Ratio Adjusted Number of days with jumps 532 .95 significance .99 significance .999 significance Number of days with jumps 532 248 79 Percentage 18.20% 8.48% 2.70% Quad-power 570 276 96 19.50% 9.44% 3.28%

AMZN- Median Based Test AMZN- Median Based Z-test

Results- AMZN Median Based Test Number of days with jumps 255 136 74 .95 significance .99 significance .999 significance Number of days with jumps 255 136 74 Percentage 8.96% 4.78% 2.60%

MSFT- Median Based Test MSFT- Median Based Z-test

Results- MSFT Median Based Test Number of days with jumps 302 159 92 .95 significance .99 significance .999 significance Number of days with jumps 302 159 92 Percentage 10.34% 5.44% 3.15%

JNJ- Median Based Test

Results- JNJ Median Based Test Number of days with jumps 203 115 62 .95 significance .99 significance .999 significance Number of days with jumps 203 115 62 Percentage 6.94% 3.93% 2.12%

Further Research and Extensions Lee Mykland 2006- Jumps in Financial Markets Expand upon Van Tassel 2007- early morning effect in conjunction with “Earnings Surprise” Associated with Overnight “Earnings Surprise”/ Analyst Opinion changes Downgrade/Upgrade Sector Based Approach Gordon Growth Model Capital Asset Pricing Model