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Initial Data Analysis. Kunal Jain February 17, 2010 Economics 201FS. Raw Data. Amazon (AMZN): 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 February 23, 1998, March 29, 1999, Feb 18, 2003,

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initial data analysis

Initial Data Analysis

Kunal Jain

February 17, 2010

Economics 201FS

raw data
Raw Data
  • Amazon (AMZN):
    • 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
      • February 23, 1998, March 29, 1999, Feb 18, 2003,
  • Johnson & Johnson (JNJ):
    • 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
AMZN- Log Returns
  • 10-minute returns excluding overnight returns
msft jump detection ratio adjusted
MSFT- Jump Detection (Ratio Adjusted)
  • 10-minute returns excluding overnight returns
msft jump detection ratio adjusted1
MSFT- Jump Detection (Ratio Adjusted)
  • 10-minute returns excluding overnight returns
amzn median based test
AMZN- Median Based Test

AMZN- Median Based Z-test

msft median based test
MSFT- Median Based Test

MSFT- Median Based Z-test

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