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Analyzing Stock Performance: Johnson & Johnson and JP Morgan Chase from 1997 to 2010

This presentation by Hao Sun delves into the stock performance of Johnson & Johnson (JNJ) and JP Morgan Chase (JPM) from April 9, 1997, to December 30, 2010. It highlights key events, stock splits, price charts, and inter-day and intra-day returns. Notable market outliers like the 9/11 attacks, the 2008 financial crisis, and the 2010 flash crash are examined. The session also discusses realized volatility, jump contributions, and annualized volatility signatures for both companies, providing insights into market behavior and investment strategies during this period.

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Analyzing Stock Performance: Johnson & Johnson and JP Morgan Chase from 1997 to 2010

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Presentation Transcript

  1. JNJ & JMP Presentation By Hao Sun

  2. Introduction • Johnson & Johnson (JNJ) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Split1: June 13, 2001[2:1] • JP Morgan Chase & Co. (JPM) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Splits2 • Jun 15, 1998 [2:1] • Jun 12, 2000 [3:2] 1: Yahoo! Finance 2 : http://www.splitpredicting.com/content/1/1011/en/jpm-_-stock-split-screener-for-jp-morgan-stock.html

  3. JNJ Price Chart

  4. JNJ Inter-day Return

  5. JNJ Intra-day Return (5 min.)

  6. JNJ Outliers • 2003, 9/11 • 2008, Financial Crisis • 2010, Flash-Crash

  7. JNJ Realized Volatility

  8. JNJ BiPower Variation

  9. JNJ Relative Contribution of Jumps

  10. JNJ Annualized RV Signature

  11. JNJ Annualized BV Signature

  12. Re-Introduction • Johnson & Johnson (JNJ) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Split1: June 13, 2001[2:1] • JP Morgan Chase & Co. (JPM) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Splits2 • Jun 15, 1998 [2:1] • Jun 12, 2000 [3:2] 1: Yahoo! Finance 2 : http://www.splitpredicting.com/content/1/1011/en/jpm-_-stock-split-screener-for-jp-morgan-stock.html

  13. JPM Price Chart

  14. JPM Inter-day Return

  15. JPM Intra-day Return (5 min.)

  16. JPM Outliers • 2000, Merger with Chase Manhattan Corp. • 2003, 9/11 • 2008, Financial Crisis

  17. JPM Realized Volatility

  18. JPM BiPower Variation

  19. JPM Relative Contribution of Jumps

  20. JPM Annualized RV Signature

  21. JPM Annualized BV Signature

  22. JPM Realized Volatility

  23. JPM BiPower Variation

  24. JPM Sub-sampling RV

  25. JPM MedRV

  26. JPM MinRV

  27. JPM Pre-Averaging RV

  28. JPM Truncated RV

  29. Valuation Comparison JNJ JPM

  30. Thanks!

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