Empirical research on jumps in stock price in Chinese stock markets
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摘要:
利用基于 BN － S 方法的已实现波动测度构造出跳跃统计量，用该统计量检验分析了中国股票市场股票价格的跳跃现象． 检验结果不仅证实了股票市场价格跳跃存在普遍性，而且发现单支股票的跳跃主要是异质跳跃而不是共同跳跃． 这表明单支股票的价格跳跃更多地受到自身市场信息的影响，而共同信息对单支股票的影响是非常有限的． 单支股票的共同跳跃大多被异质跳跃及市场微观结构噪声所掩盖．
Abstract:
Based on the realized volatility measurement，we investigate the jumps of stock price in the Chinese stock markets using Z-statistics by BN-S approach． The results show the ubiquity of jumps of stock price in the stock markets． Further more，we find that the jumps of individual stocks are mostly heterogeneous jumps rather than co-jumps which can be seen at the level of the stock index． These results indicate that the jumps of individual stocks tend to be influenced by stock-specific news while the influences generated by market-level news are very limited． Co-jumps of individual stocks are likely to be covered by heterogeneous jumps and market microstructure noise．