What factors are associated with stock price jumps in high frequency?

Yongkil Ahn, Shih Chuan Tsai*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We analyze the complete tick-level stock trading records at the Taiwan Stock Exchange and explore what factors are principally associated with stock price jumps in high frequency. Among the potential candidate variables suggested in the literature, liquidity proxies appear to be primarily associated with signed jumps in high frequency. The results from the least absolute shrinkage and selection operator (LASSO), the elastic net method, and principal component analysis further show that liquidity issues are more important than information or sentiment in understanding sudden and discontinuous price innovations to financial assets in high frequency.

Original languageEnglish
Article number101602
JournalPacific Basin Finance Journal
Volume68
DOIs
Publication statusPublished - 2021 Sept

Keywords

  • Big data
  • Herding
  • Information asymmetry
  • Liquidity
  • Machine learning
  • Signed jumps

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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