Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements

By analyzing a very large dataset of high-frequency returns, we propose two indexes informative of the occurrence of multiple co-jumps in the cross-section of US equities. These indexes have important implications not only in asset allocation and hedging but also in asset pricing. Notably, the two diffusion indexes capture a part of the variation in stocks’ returns which is not explained by the capital asset pricing model’s traditional factors. Besides, the empirical results provide evidence of interesting relations between contemporaneous jumps, stock size and capitalization.