JPM and BAC

JPM and BACBy Hao SunOverviewA continuation of some discussions from last timeWhy JPM and BAC?To see the realized covariance and systematic co-jumps during the financial crisisWhat happens to JNJ?Still on hold, until I can find a more suitable stock to compare withReviewJP Morgan Chase & Co. (JPM)Apr. 09, 1997 Dec. 30, 2010Stock Splits2 Jun 15, 1998 [2:1]Jun 12, 2000 [3:2]

Price

Return(inter-day)

Return (intra-day)

JumpsNov 18, 2000But this doesnt look like a [3:2] split, the change is too small.But inter-day price jumpsMerger between JP Morgan & Co. and Chase Manhattan Corporation

Jumps ContinuedSept. 18, 2002, 8-K filed, div. declared, increasing credit costJul. 17, 2008, 8-K filedSept. 19, 2008, 8-K filedApr. 9, 2009

Bank of America Corp., Prices

Stock Split: Aug. 26, 2004, 12:00pm [2:1]BAC, Return

BAC, Adjusted Prices

BAC RV

BAC BV

Realized Covariance 1

Realized Covariance 2

Bipower Covariance

Relative Contribution of Jumps

Realized Correlation from Method 1

Realized Correlation from Method 2

Bipower Correlation

SPFU RV

SPFU BV

Relative Contribution of Jumps

Future Research IdeasFind a peer for Johnson & Johnson, and do some analysis on Flash CrashFocus more on the Realized Covariance and Realized Correlation between JPM and BAC during the 2008 Financial CrisisLook at realized beta