European Journal of Business Science and Technology 2026, 12(1):33-46

Co-Jump Behavior and Market Shocks: Evidence from FAANG Stocks

Daouia Chebab¹, Mukhriz İzraf Azman Aziz², Norzalina Ahmad²

¹ University of Bahrain, Sakhir, Kingdom of Bahrain

² Universiti Utara Malaysia, Sintok, Malaysia

Technology stocks like Facebook, Apple, Amazon, Netflix, and Google, collectively referred to as FAANG stocks, are among the most systemically important equities in global markets, attracting international investors due to the extensive use of technology in day-to-day business. However, these stocks are considered risky assets, so building an optimal portfolio requires effective risk management. To address this, this study examines the jump and co-jump behavior of the FAANG stocks over the period 2012–2026. Jumps are identified using a standardized residual approach in which daily returns that deviate from GARCH (1,1), as well as estimated conditional volatility by more than three standard deviations, are classified as jump events, based on Laurent et al.’s (2016) conceptual framework. Co-jump activity is assessed using a co-exceedance threshold rule and logistic regression, which is in line with the larger co-jump literature (Dungey and Hvozdyk, 2011; Bouri et al., 2020). Results highlight the presence of jump and co-jump activity within the FAANG stocks, where Google and Amazon exhibited the highest co-jump connectedness, revealing their vital role in spreading economic shocks across the FAANG network. In contrast, Netflix appeared to be a more peripheral asset with lower co-jump centrality. Jumps occur during macro stress periods, most notably the 2018 US-China trade war, the COVID-19 pandemic in 2020, and the 2022 rate-hike cycle, and are generally negative in direction, indicating asymmetric downside risk. Our findings are directly relevant to global investors, asset managers, and portfolio managers. Policymakers may use these outcomes to construct a stronger framework for improving financial stability and mitigating systemic risk during market stress periods.

Keywords: jump behavior, co-jump, FAANG stocks, volatility, systemic risk

JEL classification: C58, G11, G14, G15

Received: February 3, 2026; Revised: June 11, 2026; Accepted: June 22, 2026; Published: September 15, 2026  Show citation