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Initial Data Analysis

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

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  1. Initial Data Analysis Kunal Jain February 17, 2010 Economics 201FS

  2. 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

  3. AMZN- Log Returns • 10-minute returns excluding overnight returns

  4. AMZN- Realized Variation

  5. AMZN- Bi-Power Variation

  6. AMZN- Jump Detection (Ratio Adjusted)

  7. AMZN- Jump Detection (Ratio Adjusted)

  8. Results- AMZN

  9. MSFT- RV & BV

  10. MSFT- Jump Detection (Ratio Adjusted) • 10-minute returns excluding overnight returns

  11. MSFT- Jump Detection (Ratio Adjusted) • 10-minute returns excluding overnight returns

  12. Results- MSFT

  13. JNJ- RV & BV

  14. JNJ- Jump Detection (Ratio Adjusted)

  15. JNJ- Jump Detection (Ratio Adjusted)

  16. Results- JNJ

  17. AMZN- Median Based Test AMZN- Median Based Z-test

  18. Results- AMZN

  19. MSFT- Median Based Test MSFT- Median Based Z-test

  20. Results- MSFT

  21. JNJ- Median Based Test

  22. Results- JNJ

  23. 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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