Title: Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Authors: Nabil Bouamara - KU Leuven (Belgium) [presenting]
Kris Boudt - Vrije Universiteit Brussel and VU Amsterdam (Belgium)
Sebastien Laurent - AMU (France)
Christopher Neely - Federal Reserve Bank of St. Louis (United States)
Abstract: Sluggish news reactions manifest as gradual jumps and jump delays. In a panel of high-frequency intraday stock returns, these noisy jumps show up as a ``sluggish cojump'', i.e. jumps observed at close but distinct points in time. We synchronize these scattered jumps to recover the true common jump component. We apply our methods to investigate the local behavior of Dow 30 stock jumps in a short event window around an ETF jump.