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Understanding JPM and BAC Stock Movements during Financial Crisis

Explore JPM & BAC stock price trends and correlations during 2008 crisis. Discover jumps, splits, and mergers affecting the stocks. Future research focus on realized beta and flash crash analysis.

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Understanding JPM and BAC Stock Movements during Financial Crisis

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Presentation Transcript

  1. By Hao Sun JPM and BAC

  2. Overview • A continuation of some discussions from last time • Why JPM and BAC? • To see the realized covariance and systematic co-jumps during the financial crisis • What happens to JNJ? • Still on hold, until I can find a more suitable stock to compare with

  3. Review • JP Morgan Chase & Co. (JPM) • Apr. 09, 1997 – Dec. 30, 2010 • Stock Splits2 • Jun 15, 1998 [2:1] • Jun 12, 2000 [3:2]

  4. Price

  5. Return(inter-day)

  6. Return (intra-day)

  7. Jumps Nov 18, 2000 But this doesn’t look like a [3:2] split, the change is too small. But inter-day price jumps Merger between JP Morgan & Co. and Chase Manhattan Corporation

  8. Jumps Continued Sept. 18, 2002, 8-K filed, div. declared, increasing credit cost Jul. 17, 2008, 8-K filed Sept. 19, 2008, 8-K filed Apr. 9, 2009

  9. Bank of America Corp., Prices Stock Split: Aug. 26, 2004, 12:00pm [2:1]

  10. BAC, Return

  11. BAC, Adjusted Prices

  12. BAC RV

  13. BAC BV

  14. Realized Covariance 1

  15. Realized Covariance 2

  16. Bipower Covariance

  17. Relative Contribution of Jumps

  18. Realized Correlation from Method 1

  19. Realized Correlation from Method 2

  20. Bipower Correlation

  21. SPFU RV

  22. SPFU BV

  23. Relative Contribution of Jumps

  24. Future Research Ideas • Find a peer for Johnson & Johnson, and do some analysis on Flash Crash • Focus more on the Realized Covariance and Realized Correlation between JPM and BAC during the 2008 Financial Crisis • Look at realized beta

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