Title: Co-jumps asymmetry
Authors: Haiyue Yu - University of Hong Kong (Hong Kong) [presenting]
Qi Lin - University of Hong Kong (Hong Kong)
Abstract: The co-jumps between individual assets and market index are asymmetric and co-downside jumps are significantly different from co-upside jumps. We make use of high-frequency stock return data to estimate downside jump beta and upside jump beta and find the difference between downside jump beta and upside jump beta is statistically significant for stocks included in Dow Jones 30 Index. We propose a measure for co-jumps asymmetry (CJA) and find that stocks with higher CJA (more left-skewed co-jumps) outperform their counterpart by a monthly return of 0.48\%, associated with $t$-statistics 2.94. The prediction effects of CJA are stronger for firms with smaller idiosyncratic volatility, higher liquidity and larger firm size, which implies that the relationship between CJA and cross-sectional stock return is driven by risk-return trade off rather than behavioral bias of the investors.