What factors are associated with stock price jumps in high frequency?

We analyze the complete tick-level stock trading records at the Taiwan Stock Exchange and explore what factors are principally associated with stock price jumps in high frequency. Among the potential candidate variables suggested in the literature, liquidity proxies appear to be primarily associated...

Full description

Saved in:
Bibliographic Details
Published in:Pacific-Basin finance journal 2021-09, Vol.68, p.101602, Article 101602
Main Authors: Ahn, Yongkil, Tsai, Shih-Chuan
Format: Article
Language:English
Subjects:
Big data
Herding
Information asymmetry
Liquidity
Machine learning
Signed jumps
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We analyze the complete tick-level stock trading records at the Taiwan Stock Exchange and explore what factors are principally associated with stock price jumps in high frequency. Among the potential candidate variables suggested in the literature, liquidity proxies appear to be primarily associated with signed jumps in high frequency. The results from the least absolute shrinkage and selection operator (LASSO), the elastic net method, and principal component analysis further show that liquidity issues are more important than information or sentiment in understanding sudden and discontinuous price innovations to financial assets in high frequency. •This study identifies the key metrics associated with high-frequency jumps.•We analyze the complete tick-level trading records from the Taiwan Stock Exchange.•Price impact measures are primarily associated with high-frequency jumps.•Realized spreads are also reliably correlated with jumps in high frequency.•Liquidity issues are the key driving forces of high-frequency jumps.
ISSN:0927-538X
1879-0585
DOI:10.1016/j.pacfin.2021.101602