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Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)

In: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics

Author

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  • Usman Arief
  • Zaäfri Ananto Husodo

Abstract

This research studies private information from extreme price movements or jumps. The authors calculate the private information using a reduced form model from the stochastic volatility jump process and use several statistical robustness tests as well as several frequencies to improve our consistency. This study reveals that private information is significant in explain the existence of jumps in capital markets in Southeast Asia, whereas macroeconomic events cannot explain them. The authors determine empirically that private information in Malaysia, Singapore, Thailand, and Indonesia are not persistent and its value gradually decreases when we use the lower frequency. Based on the Fama–Macbeth regression, this study shows that private information in the capital market has a strong positive relationship with individual returns in Indonesia’s capital market and Thailand’s capital market for all frequencies.

Suggested Citation

  • Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-038620210000028013
    DOI: 10.1108/S1571-038620210000028013
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    More about this item

    Keywords

    Extreme price movements; private information; jump; high-frequency data; Southeast Asian stock market; high-frequency volatility; C11; G30; G32;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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