{"database":"biostudies-literature","file_versions":[],"scores":null,"additional":{"omics_type":["Unknown"],"volume":["10(14)"],"submitter":["Poli F"],"funding":["Università degli Studi di Padova"],"pubmed_abstract":["We study how jumps spillover and the cross-company impact of firm-specific unscheduled news on jumps between economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors. Using conditional jump probabilities, we find that jump spillover is a pervasive phenomenon enhanced when jumps cluster and that firm-specific news, especially from the financial sector, boosts the jump spillover effect. Volatility following spillover jumps is significantly higher than usual, except when firm-specific news is released around the jump provoking the spillover."],"journal":["Heliyon"],"pagination":["e34440"],"full_dataset_link":["https://www.ebi.ac.uk/biostudies/studies/S-EPMC11324840"],"repository":["biostudies-literature"],"pubmed_title":["Cross-company jump spillover and the role of news."],"pmcid":["PMC11324840"],"pubmed_authors":["Poli F","Caporin M"],"additional_accession":[]},"is_claimable":false,"name":"Cross-company jump spillover and the role of news.","description":"We study how jumps spillover and the cross-company impact of firm-specific unscheduled news on jumps between economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors. Using conditional jump probabilities, we find that jump spillover is a pervasive phenomenon enhanced when jumps cluster and that firm-specific news, especially from the financial sector, boosts the jump spillover effect. Volatility following spillover jumps is significantly higher than usual, except when firm-specific news is released around the jump provoking the spillover.","dates":{"release":"2024-01-01T00:00:00Z","publication":"2024 Jul","modification":"2025-04-19T20:37:26.692Z","creation":"2025-04-19T20:37:26.692Z"},"accession":"S-EPMC11324840","cross_references":{"pubmed":["39149039"],"doi":["10.1016/j.heliyon.2024.e34440"]}}