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

Yongkil Ahn, Shih Chuan Tsai*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
文章編號101602
期刊Pacific Basin Finance Journal
68
DOIs
出版狀態已發佈 - 2021 9月

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

指紋

深入研究「What factors are associated with stock price jumps in high frequency?」主題。共同形成了獨特的指紋。

引用此