We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource...

We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...