Title :

Testing for mutually exciting jumps and financial flights in high frequency data

Author(s) :

Dungey, Mardi [Auteur]
Erdemlioglu, Deniz [Auteur]
Lille économie management - UMR 9221 [LEM]
Matei, Marius [Auteur]
Yang, Xiye [Auteur]

Journal title :

Journal of Econometrics

Pages :

18-44

Publisher :

Elsevier

Publication date :

2018-01

ISSN :

0304-4076

English keyword(s) :

Flight-to-safety
Flight-to-quality
Mutual excitation in jumps
High frequency data
Stock–bond comovement

HAL domain(s) :

Sciences de l'Homme et Société
Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in ...
Show more >We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically characterize the dynamics of financial flights in forms of flight-to-safety and flight-to-quality. The results indicate that mutually exciting jumps and risk-off trades mostly occur in periods of high market stress. Flight-to-safety episodes (from stocks to gold) arrive more frequently than do flight-to-quality spells (from stocks to bonds). We further find evidence that reverse cross-excitations or seeking-return-strategies exhibit significant asymmetry over the business cycle, reflecting the fact that investors appear to be selling gold – rather than bonds – to invest in stocks during good market conditions.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL