## Figure 1.SF.5. Proportion of Intraday Price Variation Due to Jumps: In Japanese Yen/US Dollar

## Source details

**Canonical URL:** [Figure 1.SF.5. Proportion of Intraday Price Variation Due to Jumps: In Japanese Yen/US Dollar](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-5.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-5.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-5.csv.json)

---

### Dataset description
- Unit: (Percent)
- Date range included in sample rows: 12/28/2018 through 1/4/2019 (sparse entries)
- Indicators encoded as separate rows:
  - "Days of predominantly liquidty-strained trading" (binary indicator; "1" denotes presence)
  - "Days of significant news-related jumps" (binary indicator; "1" denotes presence)
  - "Proportion of Jumps" (numeric percent values)

### Key statistics (by date)
- 12/28/2018
  - Days of predominantly liquidty-strained trading: (blank)
  - Days of significant news-related jumps: 1
  - Proportion of Jumps: 16.82
- 12/29/2018
  - All indicators: (blank)
- 12/30/2018
  - All indicators: (blank)
- 12/31/2018
  - Days of predominantly liquidty-strained trading: (blank)
  - Days of significant news-related jumps: 1
  - Proportion of Jumps: 23.07
- 1/1/2019
  - Days of predominantly liquidty-strained trading: 1
  - Days of significant news-related jumps: (blank)
  - Proportion of Jumps: 17.20
- 1/2/2019
  - Days of predominantly liquidty-strained trading: 1
  - Days of significant news-related jumps: (blank)
  - Proportion of Jumps: 28.88
- 1/3/2019
  - Days of predominantly liquidty-strained trading: 1
  - Days of significant news-related jumps: (blank)
  - Proportion of Jumps: 84.75
- 1/4/2019
  - Days of predominantly liquidty-strained trading: (blank)
  - Days of significant news-related jumps: 1
  - Proportion of Jumps: 38.36

### Observations and implications
- Proportion of intraday price variation attributed to jumps varies substantially across the sampled dates, ranging from 16.82 to 84.75 percent.
- Dates with the "1" marker in "Days of predominantly liquidty-strained trading" coincide with elevated Proportion of Jumps on 1/2/2019 (28.88) and especially 1/3/2019 (84.75), and are lower on 1/1/2019 (17.20).
- Dates with the "1" marker in "Days of significant news-related jumps" (12/28/2018, 12/31/2018, 1/4/2019) are associated with Proportion of Jumps values of 16.82, 23.07, and 38.36 respectively.

*Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-5.csv*

---


_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-5.csv_