Title: Price jumps and cross-company news impact
Authors: Francesco Poli - University of Padova (Italy) [presenting]
Massimiliano Caporin - University of Padova (Italy)
Abstract: Evidence is provided about how macroeconomic scheduled news, firm-specific unscheduled news and liquidity drive real-time jump spillovers among stocks belonging to different economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors. We use multiple logistic regression with interactions and penalization methods to distinguish the different roles played by the surprise component of the macroeconomic news and the sentiment of the firm-specific news.