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