Intraday Event Studies

Intraday event studies apply the event study methodology to intraday trading data of assets, e.g., minute-by-minute data. This higher level of granularity becomes possible by the rapidly increasing availability of high-frequency data. It allows for more precise analyses on the economic impacts of events - assuming the pre-conditions of a highly efficient market are given. 

There are two groups of significance test methods for intraday event studies, traditional methods, and the so-called jump detection techniques.

Traditional methods

  • MORE TO COME SOON

 

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