A Jump Diffusion Analysis for American and European Equity Markets in the beginning of the Corona Pandemic

(Pages 212-218)

Matthias Bernhardt*
Munich, Germany.
DOI: 10.35341/1923-7529.2021.19.21

Abstract:

This paper deals with the analysis of jumps in equity markets in conjunction with the Corona Pandemic in the beginning of 2020. The aim is to identify, analyse and compare jumps in both American and European stock markets using SX5E Index and SPX Index, with jumps measured by Kou's Double Exponential Jump Diffusion Model. To the best of our knowledge this is the first paper which applies a pure time series model to analyse stock market behavior in terms of jumps using intraday data.
The result is that jumps in both markets have similiarities and differences in terms of model behavior before, during and after the V-shaped market movement early 2020.


Keywords:

COVID-19, time series analysis, stock market jumps, Double Exponential Jump Diffusion Model.


How to Cite:

Matthias Bernhardt. A Jump Diffusion Analysis for American and European Equity Markets in the beginning of the Corona Pandemic. [ref]: vol.19.2021. available at: https://refpress.org/ref-vol19-a21/


Licensee REF Press
This is an open access article licensed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/3.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, provided the work is properly cited.