| Jump is an important part of the financial asset volatility,accurately identify the specific point of jump and the jump amplitudes,they have great influence on financial asset pricing,asset portfolio and risk management.With the cross stock market portfolio allocation gradually become more and more popular,and the deepening of the financial globalization,the linkage between different stock markets have become ever stronger,portfolio managers need to pay attention to every stock market jump.In this paper,we use high frequency data at five minutes interval and the ABD jump test method to analyze the difference of jump behavior of Chinese mainland,Hongkong and Taiwan stock markets.The empirical results show that:the three stock markets in China have different characteristics of jumps,jump with time variability and clustering.Taiwan and Hongkong stock market jump much higher than the Chinese A-share market,the number of jumps of the former is 2-3 times than the latter.Hongkong and Taiwan stock market have a high frequency of jumps,but the jump rate is small,the A-share market has a low frequency of jumps,but the jump range is big.The positive and negative jumps in the three stock markets are not symmetrical,and the jumps have day-of-the-week effects.Compared with the Hongkong and Taiwan stock market,the jumps in A-share market have seasonal effect,the third quarter of the number of jumps is much more than other quarters.In 2015,affected by the Chinese "policy market",in annual jump amplitude,realized volatility,jump variance and jump variance contribution and so on,A-share is 2-3 times much higher than the average level of two years ago,Hong Kong and Taiwan stock market are about 1 times higher than the average level of two years ago.The Chinese "policy market" has a greater impact on A-share market,and a less impact on Hong Kong and Taiwan stock market.The China’s macroeconomic information release has a greater impact on A-share market,and a less impact on Hong Kong and Taiwan stock market.Through the quantitative analysis of China’s macroeconomic information release on these three stock markets,we find that the influence of foreign stock market transaction shock on these three stock markets is the most significant.Through volatility modeling,we found that these three stock markets have long memory and the leverage effect.Volatility model with long memory,leverage effect,and jump components are best in the field of model prediction and model fitting.Global financial market turmoil is not conducive to the ability of model prediction. |
