Choi, Kyu Won2012-04-252012-04-252012-04-25https://hdl.handle.net/10161/5215This paper studies common intraday jumps and relative contribution of these common jumps in realized correlation between individual stocks and market index, using high-frequency price data. We find that the common jumps significantly contribute in realized correlation at different threshold cut-offs and both common jumps and realized correlation are relatively consistent across time period including financial crisis. We also find a weak, positive relationship between relative contribution of common jumps and realized correlation, when we further sample high-frequency data into a year. We also observe that the volatility index and market index reveal the strongest relationship.Realized correlationrelative contribution of common jumpsdiffusive covariationHonors thesis