What type of metrics are used to measure the risk of a stock jump (jump risk stock)?
I want to have metrics applied in a number of articles?
If you select a particular sock and track it's price changes over a period, you can test and verify it's distribution type. Some stock may move along with the market more then others, and some stocks may not move in the same direction with the market.
Once you verified the distribution of the stock price, use the distribution function to determine the expected value of the stock. This may serve as a reference point to analyze risk when there is a jump in price. A jump in price is the price level being thrown out of its expected value trajectory, i.e. the current variance exceeds a certain specific level that would make the change become "risky".
Dear Dr. Ali Abdulhassan Abbas, I advise you to use several measurement methods to study the risk of a share price spike. For example, event analysis (even study) gives good results. This method is also used for informational testing market efficiency (Fama 1991). The event study method has undergone significant evolutions over the years, both in the scope of applied methods of estimating the impact of events and the performed materiality tests, as well as the areas of application most often, the observations of the market reaction were conducted primarily for events related to strategic decisions of a listed company. One can mention here studies related to the dividend policy, share splits, the issue of various types of securities, as well as mergers and acquisitions. In the event analysis, we first calculate the actual rates of return, then we estimate the theoretical rates of return (normal rates of return). Finally, we calculate the extraordinary rates of return for each event on a given day of the event window (excess, extraordinary rates of return in the form of BHAR and CAR). The essence of event analysis is to examine the market reaction to a specific event. If we do the job well, we'll learn about the causes and risks of the stocks. I hope that my argument will become some inspiration in your scientific work. I recommend you very helpful studies.
http://www.jba.tbs.tu.ac.th/files/Jba130/Article/JBA130Thitima.pdf
https://www.degruyter.com/document/doi/10.1515/9781400830213-008/html
Best regards
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