Realized Volatility, Jump and Beta: evidence from Canadian Stock Market

Inclusion of jump component in the price process has been a long debate finance literature. In this paper, we identify and characterize risks Canadian stock market using high-frequency data from Toronto Stock Exchange. Our results provide strong evidence clustering – about 30% jumps occur within first 30 minutes trading hours, 25% are due to overnight returns. While average intraday is negative, induced by returns bring cancellation effect yielding size zero. We show that economic significance volatility forecasting significant but nominal. further demonstrate changes systematic risk stocks. From cross-sectional perspective, while on beta not significantly different zero, statistically significant. Overall, our suggest could be hedged combining value stocks growth portfolio whereas can even with well diversified portfolio.