Hop, Skip and Jump - What are Modern 'Jump' Tests Finding in Stock Returns?

Abstract

This paper applies several recently developed 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 number of jumps detected, as well as the timing of the jumps. Furthermore, although the different tests are formally designed to identify the same phenomenon, the number and timing of the jumps differ dramatically across the different tests when applied to the same data. These results suggest that the jump detection tests are identifying different types of jump behavior in data, and are not necessarily to be viewed as substitutes for one another.