1 / 24

JPM and BAC

By Hao Sun. JPM and BAC. Overview. A continuation of some discussions from last time Why JPM and BAC? To see the realized covariance and systematic co-jumps during the financial crisis What happens to JNJ? Still on hold, until I can find a more suitable stock to compare with. Review.

shiri
Download Presentation

JPM and BAC

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. By Hao Sun JPM and BAC

  2. Overview • A continuation of some discussions from last time • Why JPM and BAC? • To see the realized covariance and systematic co-jumps during the financial crisis • What happens to JNJ? • Still on hold, until I can find a more suitable stock to compare with

  3. Review • JP Morgan Chase & Co. (JPM) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Splits2 • Jun 15, 1998 [2:1] • Jun 12, 2000 [3:2]

  4. Price

  5. Return(inter-day)

  6. Return (intra-day)

  7. Jumps Nov 18, 2000 But this doesn’t look like a [3:2] split, the change is too small. But inter-day price jumps Merger between JP Morgan & Co. and Chase Manhattan Corporation

  8. Jumps Continued Sept. 18, 2002, 8-K filed, div. declared, increasing credit cost Jul. 17, 2008, 8-K filed Sept. 19, 2008, 8-K filed Apr. 9, 2009

  9. Bank of America Corp., Prices Stock Split: Aug. 26, 2004, 12:00pm [2:1]

  10. BAC, Return

  11. BAC, Adjusted Prices

  12. BAC RV

  13. BAC BV

  14. Realized Covariance 1

  15. Realized Covariance 2

  16. Bipower Covariance

  17. Relative Contribution of Jumps

  18. Realized Correlation from Method 1

  19. Realized Correlation from Method 2

  20. Bipower Correlation

  21. SPFU RV

  22. SPFU BV

  23. Relative Contribution of Jumps

  24. Future Research Ideas • Find a peer for Johnson & Johnson, and do some analysis on Flash Crash • Focus more on the Realized Covariance and Realized Correlation between JPM and BAC during the 2008 Financial Crisis • Look at realized beta

More Related