A0343
Title: A jumping index of jumping stocks
Authors: Alessandro Pollastri - Maastricht University (Netherlands) [presenting]
Paulo Rodrigues - Maastricht University (Netherlands)
Norman J Seeger - VU University Amsterdam (Netherlands)
Christian Schlag - Goethe University (Germany)
Abstract: Continuous-time models for the S\&P 100 index and its constituents are examined. First, we find that the stylized facts found in the index literature do not carry over to single stocks. Second, parameter estimates for the stochastic processes for single stocks imply pronounced heterogeneity in the cross-section. Third, we find that a jump in the index is not necessarily accompanied by a large number of contemporaneous jumps in its constituents stocks. Consequently, fourth, index jumps can be classified as induced by either a strongly increasing correlation between the returns on individual stocks or by macroeconomic events.
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