Research On Price Jump Behaviors And Jump-open Interest Relationship Of The CSI300 Index Futures

In today’s academia, the jump behaviors of financial assets has become an important research direction of the market microstructure theory. Based on the CSI300 Index Futures in China, this paper use the 5 minutes high-frequency data and up-to-date nonparametric test methods to detect the jump behaviors and then make comprehensive analysis about the behavior patterns. Creatively, this paper take open interest as the key explanatory variable, and try to explain the jump behaviors of the CSI300 Index Futures in many different perspectives.The detection of the jump behaviors in this paper is based on the so-called LM jump test methods. In order to make the test methods more prudent and more precise, the author use the WSD periodicity filters to modify the intraday periodicity of the price volatilities. Test result shows that there are significant price jump behaviors in Chinese stock index futures market, and such behaviors have obvious volatility clustering and intraday periodicity.After the detection and descriptive statistics of the jump behaviors, this paper analyze the jump behaviors in many different perspectives, including the periodicity of the volatilities, the intraday patterns and the intraweek patterns of the jump behaviors. The studies find that there is significant periodicity in the volatility patterns, and the jump behaviors also have some certain patterns in different times of the day as well as in different days of the week, such periodicity and patterns are theoretically and practically explained by financial theories and market experience.In the stock index futures market, open interest is widely approved as a good measure of the market depth, in addition, open interest indicates the degree of differences between the anticipations of the market participants, so the author believes that we can safely say that the open interest has significant effects on the jump behaviors of the stock index future. After a thorough analysis of the relationships between the jump behaviors and the open interest, the author come to a conclusion that the open interest can significantly affect the jump behaviors in many different ways. The logical analysis and the theoretical explanation of the relationships above are also conducted in this paper.After a series of research, this paper proves that the nonparametric jump tests, especially LM jump test in this paper, have an excellent performance during the test of the jump behaviors in Chinese stock index futures market. This paper analyze the jump pattern and the relationships between jump behaviors and open interest, this provides a creative perspective to the study of the market mechanism and the price discovery process of the stock index futures. The study and its results in this paper are very helpful for the market participants when they are managing jump risks and making investment decisions, such helps are especially important to the arbitragers and hedgers in the stock index futures market.