biostudies-literatureUnknown10(14)Poli FUniversità degli Studi di PadovaWe 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.Heliyone34440https://www.ebi.ac.uk/biostudies/studies/S-EPMC11324840biostudies-literatureCross-company jump spillover and the role of news.PMC11324840Poli FCaporin MfalseCross-company jump spillover and the role of news.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.2024-01-01T00:00:00Z2024 Jul2025-04-19T20:37:26.692Z2025-04-19T20:37:26.692ZS-EPMC113248403914903910.1016/j.heliyon.2024.e34440