Jumps in High-Frequency Data on the Chinese Stock Market

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DOI: 10.4236/jmf.2017.72025    1,373 Downloads   2,603 Views  Citations
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ABSTRACT

This study adopts two nonparametric methods, the activity signature function (ASF) and ratio analysis of cojumps, to test jumps in China’s stock market. Jumps in the stock price, stock-index futures, and volatility of China Securities Index (CSI) 300 index are analyzed using data on the continuous main-contract price of the index. The findings are as follows. First, in the long run, the CSI 300 index process is a continuous process exhibiting jumps at all sampling intervals. In the short run, the index becomes a pure-jump process in times of recession while exhibiting the characteristics of a continuous or even semimartingale process in certain intervals. Second, the stock-index futures process is a continuous process with jumps at all sampling intervals and, in the short run, exhibits the characteristics of a pure-jump process every 6 months. Moreover, the volatility process generally exhibits the characteristics of pure-jump processes. Third, the CSI 300 index price process and the continuous main-contract price process of the CSI 300 stock-index futures are significantly and positively related, with jumps occurring with a time lag of less than 5 minutes; by contrast, the volatility and price processes of the index are nonsignificantly related.

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Li, Y. and Jiang, T. (2017) Jumps in High-Frequency Data on the Chinese Stock Market. Journal of Mathematical Finance, 7, 467-490. doi: 10.4236/jmf.2017.72025.

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