Faculty of Business Brown Bag Seminars - Finance - Dr. Levent Güntay

Faculty of Business Brown Bag Seminars - Finance - Dr. Levent Güntay

01.11.2024
13:30-15:00
 AB2 345

Speaker: Levent Guntay (Ozyegin University) 

Dr. Guntay will present to us his joint work with Dr. Emrah Ahi (Ozyegin University) and Halil Bilgin Payze (Koc University))

Title: Skipping Across the Bosphorus: Post-Jump Returns at Ultra-High Frequency

Abstract: This study analyzes intraday stock jumps in Borsa Istanbul (BIST) using ultrahigh frequency data, focusing on liquid stocks. We apply traditional jump detection methods, including the Lee-Mykland (LM) test (Lee and Mykland, 2008) and MedRV (Andersen et al., 2012). We also introduce three novel "Price Skipping" methods to improve jump detection accuracy. Our findings reveal that stocks typically exhibit reversal post-jump returns regardless of jump direction. This behavior supports a profitable trading strategy that takes long positions after down jumps and short positions after up jumps. The strategy’s efficacy is tested across various detection methods and confidence intervals. We observe a strong negative correlation between relative tick size and jump likelihood, indicating that larger tick sizes reduce jump frequency but increase post-jump return magnitude. Additionally, trading volume during jumps positively correlates with the magnitude of post-jump reversals, suggesting market overreactions. These results imply that optimal tick sizes can enhance market liquidity and efficiency. The study contributes to the understanding of ultra-high frequency jump mechanisms and offers practical insights for market structure and tick size policy.

* This event will be held in English / Etkinlik dili: İngilizce