Jumps And Cojumps In China’s Stock And Bond Market

Using the5minutes high-frequency data of hushen300index and Shanghai bond index from2007to2012, we investigate the relationship between the jump of asset price and macro news surprises. We use the BTL’s (2013) method to extract jump from the stock market and bond market, which considers the intraday pattern of jump. Then using Tobit-GARCH and Logit model, we study the characteristics of jump and cojump as well as their relationship with the macro news surprises.The empirical results show that both the stock market and bond market have significant jumps. The bond market experiences frequent but relatively small jumps, while and the stock market experiences less frequent but large jumps. Industrial output (IO), trade balance (TB), the total retail sales of social consumer goods (RS), the producer price index (PPI), and fixed asset investment (FI) have significant effects on the bond market’s jump. While Industrial output (IO), the value of export (EX), the producer price index (PPI), the consumer price index (CPI), the gross domestic product (GDP) and the purchasing managers’ index (PMI) have significant influence on the stock market jump. In addition, most influence coefficients of the significant indicator are negative, which means that negative news shocks tend to significantly increase jump size, while positive news shocks tend to significantly decrease jump size. Market reacts more fiercely to bad news. Compared with the relation between a single market and macro news shock, the relation between cojump jump and macro news shock is tighter. Almost all the studied10macro indicators (except the PMI) have significant influence coefficient in certain lag period.The main contribution of this paper is that we reveal the intraday pattern of the asset price jump and it studies two markets and their cojumps. We also analyze the impact of macro news shock on jumps and cojumps.