An Empirical Analysis Of The Jump Behavior In China’s Stock Market

"Change" is in every corner of the world, especially in Economic, financial, industrial control field. A sufficient awareness of those changes determines whether we can avoid unnecessary losses and master the best time of changes. Prices of financial assets researchers have explored the jump characteristic by modeling the assets prices. The fitting effect of jump-diffusion model is very good, which can well reflect the characteristic of the sequence in the process of modeling stock index returns.This paper proposes a new algorithm of detecting jumps and applies it to China Stock Markets analysis. There are two types of jumps or changes including mean change and variance change which have great difference. Being aware of the difference, we select the V statistics and construct a new statistics to detect the two types of jumps respectively.This paper’s main work are as follows. Firstly, inspired by the remarkable deviation change of the index series before and after the variance change point, we construct a new variance change point detection statistics, named as DLR simply, which means Deviation-like Ratio Statistics. Then, we provide a simulation method for threshold determination which based on the asymmetry jump-diffusion model. Secondly, we establish a new change point detection algorithm based on the V statistics and DLR statistics, which aim for detecting mean change and variance change respectively. Finally, we apply the new algorithm to the empirical analysis of China Stock Markets.We sample the five main stock index between January4,2007and November30,2011, including Shanghai Composite Index, Shanghai Stock Exchange50index, Shenzhen Composite Index, Shenzhen Component Index and Shanghai and Shenzhen300index. The results of the empirical analysis indicates that the dependence on the government’s policy to China Stock Market is bigger and that China Stock market is easily influenced by the swings of international stock market. Furthermore, we need to strengthen the supervision of government policy continuously, establish a sound legal system, ensure a good operation of the external environment, promote the reform of the market and improve the market organizations so that China’s stock market is more mature and stable.