Abstract
We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Excha...
Highlights
We explore asset return volatility in actively traded stocks
We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility
This paper investigates whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on the Johannesburg Stock Exchange and whether these jumps cause asset return volatility
Summary
Abstract: We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. We investigate whether there are systematic jumps in stock returns using the Brownian motion and Poisson processes to test diffusion and jump risk, respectively, on the Johannesburg Stock Exchange and whether these jumps cause asset return volatility.
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