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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 • JP Morgan Chase & Co. (JPM) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Splits2 • Jun 15, 1998 [2:1] • Jun 12, 2000 [3:2]
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
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
Bank of America Corp., Prices Stock Split: Aug. 26, 2004, 12:00pm [2:1]
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