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

2. 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

3. AMZN- Log Returns
10-minute returns excluding overnight returns

4. AMZN- Realized Variation

5. AMZN- Bi-Power Variation

6. AMZN- Jump Detection (Ratio Adjusted)

7. AMZN- Jump Detection (Ratio Adjusted)

8. 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%

9. MSFT- RV & BV

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

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

12. 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%

13. JNJ- RV & BV

14. JNJ- Jump Detection (Ratio Adjusted)

15. JNJ- Jump Detection (Ratio Adjusted)

16. 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%

17. AMZN- Median Based Test
AMZN- Median Based Z-test

18. 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%

19. MSFT- Median Based Test
MSFT- Median Based Z-test

20. 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%

21. JNJ- Median Based Test

22. 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%

23. Further Research and Extensions
Lee Mykland Jumps in Financial Markets
Expand upon Van Tassel 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