Initial Data Analysis

Initial Data Analysis

Kunal JainFebruary 17, 2010Economics 201FS

Raw Data

Amazon (AMZN): August 1, 1997 – January 7, 2009 2,846 Days

Microsoft Corporation (MSFT): April 16, 1997 – January 7, 2009 2,921 Days 2:1 Share splits

February 23, 1998, March 29, 1999, Feb 18, 2003,

Johnson & Johnson (JNJ): April 9, 1997 – January 7, 2009 2,923 Days

Price data available every minute from 9:35 AM to 3:59 PM for each trading day

AMZN- Log Returns

•10-minute returns excluding overnight returns

AMZN- Realized Variation

AMZN- Bi-Power Variation

AMZN- Jump Detection (Ratio Adjusted)

AMZN- Jump Detection (Ratio Adjusted)

Results- AMZN

Tri-powerRatio Adjusted

.95 significance .99 significance .999 significance

Number of days with jumps

523 258 83

Percentage 18.38% 9.07% 2.92%

Quad-powerRatio Adjusted

Number of days with jumps

553 286 104

Percentage 19.43% 10.05% 3.65%

MSFT- RV & BV

MSFT- Jump Detection (Ratio Adjusted)

•10-minute returns excluding overnight returns

MSFT- Jump Detection (Ratio Adjusted)

•10-minute returns excluding overnight returns

Results- MSFT

Tri-powerRatio Adjusted

.95 significance .99 significance .999 significance

Number of days with jumps

436 193 56

Percentage 14.92% 6.60% 1.92%

Quad-powerRatio Adjusted

Number of days with jumps

449 203 66

Percentage 15.36% 6.94% 2.26%

JNJ- RV & BV

JNJ- Jump Detection (Ratio Adjusted)

JNJ- Jump Detection (Ratio Adjusted)

Results- JNJ

Tri-powerRatio Adjusted

.95 significance .99 significance .999 significance

Number of days with jumps

532 248 79

Percentage 18.20% 8.48% 2.70%

Quad-powerRatio Adjusted

Number of days with jumps

570 276 96

Percentage 19.50% 9.44% 3.28%

AMZN- Median Based Test

AMZN- Median Based Z-test

Results- AMZN

Median Based Test

.95 significance .99 significance .999 significance

Number of days with jumps

255 136 74

Percentage 8.96% 4.78% 2.60%

MSFT- Median Based Test

MSFT- Median Based Z-test

Results- MSFT

Median Based Test

.95 significance .99 significance .999 significance

Number of days with jumps

302 159 92

Percentage 10.34% 5.44% 3.15%

JNJ- Median Based Test

Results- JNJ

Median Based Test

.95 significance .99 significance .999 significance

Number of days with jumps

203 115 62

Percentage 6.94% 3.93% 2.12%

Lee Mykland 2006- Jumps in Financial Markets Expand upon Van Tassel 2007- early morning effect in conjunction with

“Earnings Surprise” Associated with Overnight “Earnings Surprise”/ Analyst Opinion changes

Downgrade/Upgrade Sector Based Approach Gordon Growth Model

Capital Asset Pricing Model

Further Research and Extensions