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JPM and BAC

This overview discusses the realized covariance and systematic co-jumps between JPMorgan Chase & Co. (JPM) and Bank of America Corp. (BAC) during the 2008 financial crisis. The impact of stock splits, mergers, and other events on their price returns and jumps are analyzed. The future research ideas include finding a peer for Johnson & Johnson and analyzing the Flash Crash.

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JPM and BAC

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  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

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