The Jumps in the Stock Returns: The Evidence from the Polish Stock Market

Abstract

The availability of intraday data led to the development of new concepts and models. In the paper we focus on the jumps observed in the stock and index returns. These abnormal returns should be linked to information on the market. Here we detect jumps in equally spaced 15-minute intraday returns for most liquid stocks quoted on the Warsaw Stock Exchange and WIG20 index within 7 months time. The Lee-Mykland (2008) non-parametric test of jumps is used in order to detect jumps. We use two approaches: with and without filtering the data from the periodicity. This test allows us to identify jumps with their exact time and size. We check what kind of information produces jumps in case of individual stocks and index and describe the detected jumps for KGHM in details.