Jumps in High-Frequency Data on the Chinese Stock Market

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.

Price Jumps Identification Using Integrated Variance Estimators

“…microstructure noises), teško je identificirati cjenovne skokove (Lee & Mykland, 2008). Ipak, mikrostrukturni šumovi mogu se otkloniti ako se odredi optimalna frekvencija uzorkovanja, pri kojoj je RV nepristrana i asimptotski konzistentna (Arnerić & Matković, 2019;Li & Jiang, 2017). Takva se RV potom uspoređuje s inačicom koja je, pak, robusna na cjenovne skokove i testira se statistička značajnost cjenovnih skokova za svaki dan trgovanja s pomoću BNS testa (Barndorff-Nielsen & Shephard, 2006), što je u ovom istraživanju i učinjeno.…”