Private information from extreme price movements (Empirical evidences from southeast asia countries)

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

This research studies private information from extreme price movements or jumps. The authors calculate the private information using a reduced form model from the stochastic volatility jump process and use several statistical robustness tests as well as several frequencies to improve our consistency. This study reveals that private information is significant in explain the existence of jumps in capital markets in Southeast Asia, whereas macroeconomic events cannot explain them. The authors determine empirically that private information in Malaysia, Singapore, Thailand, and Indonesia are not persistent and its value gradually decreases when we use the lower frequency. Based on the Fama–Macbeth regression, this study shows that private information in the capital market has a strong positive relationship with individual returns in Indonesia’s capital market and Thailand’s capital market for all frequencies.

Original languageEnglish
Title of host publicationInternational Symposia in Economic Theory and Econometrics
PublisherEmerald Group Holdings Ltd.
Pages221-242
Number of pages22
DOIs
Publication statusPublished - 2021

Publication series

NameInternational Symposia in Economic Theory and Econometrics
Volume28
ISSN (Print)1571-0386

Keywords

  • Extreme price movements
  • High-frequency data
  • High-frequency volatility
  • Jump
  • Private information
  • Southeast Asian stock market

Fingerprint

Dive into the research topics of 'Private information from extreme price movements (Empirical evidences from southeast asia countries)'. Together they form a unique fingerprint.

Cite this