Hop, Skip and Jump – What Are Modern “Jump” Tests Finding in Stock Returns?

Abstract

This paper applies several jump detection tests to intraday stock price data sampled at various frequencies. It finds that the choice of sampling frequency has an effect on both the amount of jumps detected by these tests, as well as the timing of those jumps. Furthermore, although these tests are designed to identify the same phenomenon, they find different amounts and timing of jumps when performed on the same data. These results suggest that these jump detection tests are probably identifying different types of jump behavior in stock price data, so they are not really substitutes for one another.