Intraday Event Studies

Intraday event studies apply the event study methodology on intraday trading data of assets (typically, stocks). Statistical methods for assessing the significance of a price movement were adopted from event study research focussing on daily or even less frequent data timestamps. The nature of high-frequency data, however, allows for novel approaches that are better suited to assess the statistical significance of intrady asset price movements. Hence, two groups of significance test methods exist for intraday event studies, traditional methods, and the so-called jump detection techniques.

 

Traditional methods

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Modern jump detection techniques

Modern jump detection techniques exploit characteristics of intraday data and address issues pertaining to the data, such as microstructure noise.

  • Ait-Sahilia:
  • Bi-Power Variation:
  • Jiang-Omen Statistics:
  • Statistical Finance:

 

References