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arXiv · 2309.15705

Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

Nabil Bouamara·Kris Boudt·Sébastien Laurent·Christopher J. Neely
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Abstract

Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to automatically detect noisy jumps and better approximate the true common jumps in related stock prices.

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Nabil Bouamara, Kris Boudt, Sébastien Laurent, Christopher J. Neely. 2023-09-27. Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. https://arxiv.org/abs/2309.15705

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