Realized Volatility Jumps and Foreign Flow Spillover in the Indonesia Stock Exchange: High-Frequency Evidence from IHSG Intraday Data 2025-2026
DOI:
https://doi.org/10.47747/fmiic.v1i3.3561Abstract
This study decomposes the intraday realized volatility of the Jakarta Composite Index (IHSG) into continuous and discontinuous jump components using the Barndorff-Nielsen and Shephard (2004, 2006) bipower variation methodology. Using 5-minute IHSG intraday bars across 93 trading days from 30 December 2025 to 29 May 2026 (total 5,838 observations), we estimate daily realized variance, bipower variation, and the BNS jump test statistic. We document four central findings. First, the jump component accounts on average for 11.77 percent of daily realized variance, with 30 of 93 trading days (32.3 percent) exhibiting statistically significant discontinuous price changes at the 5 percent significance level. Second, the average annualized realized volatility is 16.40 percent, with the cross-day standard deviation indicating substantial regime variation. Third, the jump-day rate amplifies sharply on stress days defined as the top decile of absolute daily returns: jump rate rises from 30.1 percent on normal days to 50.0 percent on stress days (a 19.9 percentage-point amplification), and the jump variance share rises from 11.21 percent on normal days to 16.36 percent on stress days. Fourth, the jump-volume conditioning is essentially absent: jump rate is 32.5 percent on normal-volume days against 30.0 percent on high-volume (top decile) days, indicating that the jump pattern is driven by price-direction shocks rather than by trading-volume bursts. We interpret these findings as evidence that foreign-flow shocks in the Indonesia Stock Exchange manifest as discontinuous intraday jumps rather than continuous diffusion, with direct implications for option pricing, intraday risk management, and the macroprudential monitoring of equity-market liquidity stress. The methodological framework we develop using BNS bipower variation extends directly to firm-level intraday data when such data become available through Bloomberg Terminal extension.
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