Econometrics Seminar Series: What Makes the Market Jump?

University House - Room 204
Tuesday 23rd February 2016 (13:00-14:00)
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Speaker: Charden Wese Simen (University of Reading)

Speaker biography

Chardin is a Lecturer of finance at the ICMA Centre. Prior to joining the Centre in 2015, he was a faculty  member at the University of Liverpool.  He holds a PhD in Finance from the ICMA Centre at the University of Reading (2013), and his main research interests are commodity markets, derivatives, financial econometrics  and risk management. 


Using intraday transaction prices and a non-parametric jump test, we show that jumps in the S&P 500 and VIX are low-probability, high-impact events. Extant research investigating the causes of jumps primarily focuses on scheduled macro-announcements. However, we find that unscheduled news, which has so far received little attention, triggers twice as many jumps and accounts for a larger proportion of the jump variation than scheduled news. Intriguingly, we show that close to 50% of jumps are not explained by fundamental news, revealing the presence of “excess jumps” in financial markets.