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Regional Growth and Sustainable Development in Asia pp 151–180Cite as

Learning About the Role of Market Micro-Structure from High-Frequency Data on Asian Banks

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Part of the book series: New Frontiers in Regional Science: Asian Perspectives ((NFRSASIPER,volume 7))

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Notes

  1. 1.

    There is no need to test for a jump in the individual stock price, as the estimates of the diffusion and jump betas depend only on whether the factor was diffusion or experienced a jump.

  2. 2.

    The standard CAPM beta, \( {\beta}_i=\frac{Cov\left({R}_{i,}{R}_m\right)}{Var\left({R}_m\right)} \).

  3. 3.

    See, for example, Press (1967), Merton (1976), and Ball and Torous (1983) and among others.

  4. 4.

    The notation here is simplified relative to that in Todorov and Bollerslev (2010)—see their article for more details.

  5. 5.

    The basic idea of relying on higher orders powers of returns to isolate the jump component of the price has previously been used in many other situations, both parametrically and non-parametrically; see, e.g. Barndorff-Nielsen and Shephard (2003) and Aït-Sahalia (2004).

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Authors and Affiliations

  1. Tasmanian School of Business and Economics, University of Tasmania, Hobart, Australia

    Biplob Chowdhury, Mardi Dungey, Nagaratnam Jeyasreedharan & Mohammad Abu Sayeed

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  1. Biplob Chowdhury
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  2. Mardi Dungey
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  3. Nagaratnam Jeyasreedharan
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  4. Mohammad Abu Sayeed
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Correspondence to Mardi Dungey .

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Editors and Affiliations

  1. Department of Economics, Rochester Institute of Technology, Rochester, New York, USA

    Amitrajeet A. Batabyal

  2. Department of Spatial Economics, Tinbergen Institute, Amsterdam, The Netherlands

    Peter Nijkamp

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Chowdhury, B., Dungey, M., Jeyasreedharan, N., Sayeed, M.A. (2017). Learning About the Role of Market Micro-Structure from High-Frequency Data on Asian Banks. In: Batabyal, A., Nijkamp, P. (eds) Regional Growth and Sustainable Development in Asia. New Frontiers in Regional Science: Asian Perspectives, vol 7. Springer, Cham. https://doi.org/10.1007/978-3-319-27589-5_8

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