A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks
用MCMC方法分析S&P 100指数及其成分股的连续时间模型，发现个股与指数的跳跃过程差异显著：个股平均跳跃幅度为正而指数为负，且指数跳跃不一定伴随大量成分股同时跳跃。
This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jump in the returns of the typical stock is positive, while it is negative for the index. Furthermore, the estimates of the parameters for the stochastic processes exhibit pronounced heterogeneity in the cross-section of stocks. For example, we find that the jump size in returns decreases for larger companies. Finally, we find that a jump in the index is not necessarily accompanied by a large number of contemporaneous jumps in its constituent’s stocks. Indeed, we find index jump days on which only one index constituent also jumps. As a consequence, we show that index jumps can be classified as induced by either synchronous price movements of individual stocks or macroeconomic events.