Initial Data Analysis Kunal Jain February 17 2010

Initial Data Analysis Kunal Jain February 17, 2010 Economics 201 FS

Raw Data n Amazon (AMZN): ¨ ¨ n August 1, 1997 – January 7, 2009 2, 846 Days Microsoft Corporation (MSFT): ¨ ¨ April 16, 1997 – January 7, 2009 2, 921 Days ¨ 2: 1 Share splits n n Johnson & Johnson (JNJ): ¨ ¨ n February 23, 1998, March 29, 1999, Feb 18, 2003, April 9, 1997 – January 7, 2009 2, 923 Days Price data available every minute from 9: 35 AM to 3: 59 PM for each trading day

AMZN- Log Returns • 10 -minute returns excluding overnight returns

AMZN- Realized Variation

AMZN- Bi-Power Variation

AMZN- Jump Detection (Ratio Adjusted)

Results- AMZN Tri-power Ratio Adjusted Number of days with jumps Percentage . 95 significance . 999 significance 523 258 83 18. 38% 9. 07% 2. 92% 553 286 104 19. 43% 10. 05% 3. 65% Quad-power Ratio Adjusted Number of days with jumps Percentage

MSFT- RV & BV

MSFT- Jump Detection (Ratio Adjusted) • 10 -minute returns excluding overnight returns

Results- MSFT Tri-power Ratio Adjusted Number of days with jumps Percentage . 95 significance . 999 significance 436 193 56 14. 92% 6. 60% 1. 92% 449 203 66 15. 36% 6. 94% 2. 26% Quad-power Ratio Adjusted Number of days with jumps Percentage

JNJ- RV & BV

JNJ- Jump Detection (Ratio Adjusted)

Results- JNJ Tri-power Ratio Adjusted Number of days with jumps Percentage . 95 significance . 999 significance 532 248 79 18. 20% 8. 48% 2. 70% 570 276 96 19. 50% 9. 44% 3. 28% Quad-power Ratio Adjusted Number of days with jumps Percentage

AMZN- Median Based Test AMZN- Median Based Z-test

Results- AMZN Median Based Test Number of days with jumps Percentage . 95 significance . 999 significance 255 136 74 8. 96% 4. 78% 2. 60%

MSFT- Median Based Test MSFT- Median Based Z-test

Results- MSFT Median Based Test Number of days with jumps Percentage . 95 significance . 999 significance 302 159 92 10. 34% 5. 44% 3. 15%

JNJ- Median Based Test

Results- JNJ Median Based Test Number of days with jumps Percentage . 95 significance . 999 significance 203 115 62 6. 94% 3. 93% 2. 12%

Lee Mykland 2006 - Jumps in Financial Markets Further Research and Extensions ¨ Expand upon Van Tassel 2007 - early morning effect in conjunction with n “Earnings Surprise” ¨ Associated with Overnight “Earnings Surprise”/ Analyst Opinion changes n Downgrade/Upgrade Sector Based Approach ¨ Gordon Growth Model ¨ ¨ Capital Asset Pricing Model